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Commodity Curvature Risk Position Up

sbm
Description The bucket level capital requirement under the upward scenario
Variations
Hierarchies required in the view
Reference [MAR21.5]
Notation K+b
Formula K+b=max(0,kbmax(CVR+k,0)2+kblb,lkρklCVR+kCVR+lψ(CVR+k,CVR+l))

See also