CSR non-Sec Curvature CVR Up

sbm
Description The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors
Reference [MAR21.5]
Formula i{Vi(xk(RW(curvature)+))Vi(xk)RWk(curvature)sik)}

The measure CSR non-Sec Curvature CVR Up can be replicated with these measures: CSR non-Sec Curvature shock-up prices minus CSR non-Sec Curvature Delta Weighted Sensitivities.

See also