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CSR Sec non-CTP Curvature Risk Charge

sbm
Description The CSR Sec non-CTP curvature risk charge based on the ‘Medium correlations’ scenario
Variations
Reference [MAR21.5]
Notation Curvaturerisk
Formula Curvature risk=max(0,bK2b+bcbγbcSbScψ(Sb,Sc))

See also