Navigation :
CSR Sec non-CTP Curvature CVR Up
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)k⋅sik)} |
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