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GIRR Curvature Sb
Description |
The net curvature risk requirement in a bucket |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.5] |
Notation |
$S_b$ |
Formula |
$$S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward} $$ |
See also