FX Curvature Risk Charge

sbm
Description The FX curvature risk charge based on the ‘Medium correlations’ scenario
Variations
Reference [MAR21.5]
Notation CurvatureriskCurvaturerisk
Formula Curvature risk=max(0,bK2b+bcbγbcSbScψ(Sb,Sc))Curvature risk= max0,bK2b+bcbγbcSbScψ(Sb,Sc)

See also