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CSR Sec CTP Curvature Risk Position
Description |
The bucket-level capital charge for CSR Sec CTP curvature also known as risk position, under the ‘Medium correlations’ scenario |
Variations |
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Hierarchies required in the view |
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Reference |
[MAR21.5] |
Notation |
KbMediumCorr |
Formula |
Kb=max(K+b,K−b) |
See also