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CSR Sec non-CTP Curvature CVR Up

sbm
Description The valuation impact of the downward scenario for curvature risk factors with delta effect removed
Reference [MAR21.5]
Formula i{Vi(x(RW(curvature)+)k)Vi(xk)RW(curvature)ksik)}

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

See also