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Commodity Curvature Risk Position Down
Description |
The bucket level capital requirement under the downward scenario |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.5] |
Notation |
K−b |
Formula |
K−b=√max(0,∑k∈bmax(CVR−k,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVR−k⋅CVR−l⋅ψ(CVR−k,CVR−l)) |
See also