GIRR Curvature Risk Position Up

sbm
Description The bucket level capital requirement under the upward scenario
Variations
Hierarchies required in the view
Reference [MAR21.5]
Notation K+b
Formula K+b= max0,kbmax(CVR+k,0)2+kblb,lkρklCVR+kCVR+lψ(CVR+k,CVR+l)

See also