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Commodity Curvature Sb
Description |
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 |
SbSb |
Formula |
Sb=∑kCVR+kwhen scenario is upward, Sb=∑kCVR−kwhen scenario is downward |
See also