Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/video-walk-throughs.html - Video walk-throughs test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test getting-started/directquery.html - DirectQuery test ../ test configuration.html Configuration files test ../ test datastore.html Data Stores test ../ test database.html Database test ../ test input-files.html Input Data test ../ test tutorials.html Tutorials test ../ test tutorials/data-sanity-check.html - Data Sanity Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test interpret-impl.html Interpretation and Implementation of the MAR standard test ../ test cube.html Analytics Reference test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/acr.html -- ACR test ../ test cube/measures/frtbcombined.html -- FRTBCombined test ../ test cube/measures/imadrc.html -- IMADRC test ../ test cube/measures/internalmodelapproach.html -- InternalModelApproach test ../ test cube/measures/pl-and-plsummary.html -- PL test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html --- Aggregated RiskCharge by Class test ../ test cube/measures/standardisedapproach/commodity.html --- Commodity test ../ test cube/count.html --- Count test ../ test cube/measures/standardisedapproach/crypto-2a.html --- Crypto 2a test ../ test cube/measures/standardisedapproach/crypto-2a/curvature.html ---- Curvature test ../ test cube/crypto-2a-curvature-bucket-scenario.html ----- Crypto 2a Curvature Bucket Scenario test ../ test cube/crypto-2a-curvature-cvr.html ----- Crypto 2a Curvature CVR test ../ test cube/crypto-2a-curvature-cvr-down.html ----- Crypto 2a Curvature CVR Down test ../ test cube/crypto-2a-curvature-cvr-up.html ----- Crypto 2a Curvature CVR Up test ../ test cube/crypto-2a-curvature-delta-sensitivities.html ----- Crypto 2a Curvature Delta Sensitivities test ../ test cube/crypto-2a-curvature-delta-weighted-sensitivities.html ----- Crypto 2a Curvature Delta Weighted Sensitivities test ../ test cube/crypto-2a-curvature-risk-charge.html ----- Crypto 2a Curvature Risk Charge test ../ test cube/crypto-2a-curvature-risk-position.html ----- Crypto 2a Curvature Risk Position test ../ test cube/crypto-2a-curvature-risk-position-down.html ----- Crypto 2a Curvature Risk Position Down test ../ test cube/crypto-2a-curvature-risk-position-scenario.html ----- Crypto 2a Curvature Risk Position Scenario test ../ test cube/crypto-2a-curvature-risk-position-up.html ----- Crypto 2a Curvature Risk Position Up test ../ test cube/crypto-2a-curvature-risk-weight.html ----- Crypto 2a Curvature Risk Weight test ../ test cube/crypto-2a-curvature-shock-down-prices.html ----- Crypto 2a Curvature shock-down prices test ../ test cube/crypto-2a-curvature-shock-up-prices.html ----- Crypto 2a Curvature shock-up prices test ../ test cube/measures/standardisedapproach/crypto-2a/delta.html ---- Delta test ../ test cube/measures/standardisedapproach/crypto-2a/vega.html ---- Vega test ../ test cube/measures/standardisedapproach/crypto-2b.html --- Crypto 2b test ../ test cube/measures/standardisedapproach/csr-non-sec.html --- CSR non-Sec test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html --- CSR Sec CTP test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html --- CSR Sec non-CTP test ../ test cube/measures/standardisedapproach/drc.html --- DRC test ../ test cube/measures/standardisedapproach/equity.html --- Equity test ../ test cube/measures/standardisedapproach/fx.html --- FX test ../ test cube/measures/standardisedapproach/girr.html --- GIRR test ../ test cube/notional.html --- Notional test ../ test cube/notional-original-currency.html --- Notional (Original Currency) test ../ test cube/notional-original-currency-drc.html --- Notional (Original Currency) DRC test ../ test cube/notional-drc.html --- Notional DRC test ../ test cube/pv.html --- PV test ../ test cube/pv-drc.html --- PV DRC test ../ test cube/pv.ccy.html --- PV.CCY test ../ test cube/measures/standardisedapproach/rrao.html --- RRAO test ../ test cube/timestamp.html --- Timestamp test ../ test cube/measures/stresscalibration.html -- StressCalibration test ../ test cube/context-values.html - Context values test ../ test cube/dimensions.html - Dimensions test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration guides test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ui-config.html - Configuring the UI test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Solution test ../ test dev/dev-tools.html - Configuring Solution tools and methodologies test ../ test dev/dev-sign-off.html - Sign-Off test ../ test dev/dev-direct-query.html - DirectQuery test ../ test limits.html Limit monitoring test ../ test sign-off.html Sign-Off Approvals test ../ test what-if.html What-If Analysis test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary Crypto 2a Curvature Risk Charge sbm Description The crypto 2a curvature risk charge based on the ‘Medium correlations’ scenario Variations high-low Reference [SCO60.81] Notation $Curvature risk$ Formula $$Curvature\ risk = \sum _{b} K_{b}$$ See also Crypto 2a Curvature Bucket Scenario Crypto 2a Curvature CVR Crypto 2a Curvature CVR Down Crypto 2a Curvature CVR Up Crypto 2a Curvature Delta Sensitivities Crypto 2a Curvature Delta Weighted Sensitivities Crypto 2a Curvature Risk Position Crypto 2a Curvature Risk Position Down Crypto 2a Curvature Risk Position Scenario Crypto 2a Curvature Risk Position Up Crypto 2a Curvature Risk Weight Crypto 2a Curvature shock-down prices Crypto 2a Curvature shock-up prices Crypto 2a Curvature Delta Weighted Sensitivities Crypto 2a Curvature Risk Position