CSR non-Sec Curvature Risk Position Up

sbm
Description The bucket level capital requirement under the upward scenario
Variations
Hierarchies required in the view
Reference [MAR21.5]
Notation Kb+
Formula Kb+=max(0,kbmax(CVRk+,0)2+kblb,lkρklCVRk+CVRl+ψ(CVRk+,CVRl+))

See also