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GIRR Curvature Delta Weighted Sensitivities
Description |
The Delta effect which will be removed from curvature shocked scenario PL |
Reference |
[MAR21.5] |
Notation |
WSk |
Formula |
RW(curvature)k⋅sik |
This measure matches GIRR Delta Sensitivities for trades and risk factors having curvature risk charges.
See also