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FX Curvature Risk Position Up
Description |
The bucket level capital requirement under the upward scenario |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.5] |
Notation |
K+bK+b |
Formula |
K+b=√max(0,∑k∈bmax(CVR+k,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVR+k⋅CVR+l⋅ψ(CVR+k,CVR+l))K+b=
⎷max⎛⎝0,∑k∈bmax(CVR+k,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVR+k⋅CVR+l⋅ψ(CVR+k,CVR+l)⎞⎠ |
See also