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FX Curvature CVR Down

sbm
Description The valuation impact of the downward scenario for curvature risk factors with delta effect removed
Reference [MAR21.5]
Formula i{Vi(x(RW(curvature))k)Vi(xk)+RW(curvature)ksik)}

The measure FX Curvature CVR Down can be replicated with these measures: FX Curvature shock-down prices plus FX Curvature Delta Weighted Sensitivities.

See also