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GIRR Curvature Risk Charge
Description |
The GIRR curvature risk charge based on the ‘Medium correlations’ scenario |
Variations |
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Reference |
[MAR21.5] |
Notation |
Curvaturerisk |
Formula |
Curvature risk=√max(0,∑bK2b+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc)) |
See also