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GIRR Curvature CVR Down

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 GIRR Curvature CVR Down can be replicated with these measures: GIRR Curvature shock-down prices plus GIRR Curvature Delta Weighted Sensitivities.

See also