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CSR Sec non-CTP Curvature Risk Position

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

See also