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GIRR Curvature CVR Up
Description |
The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors |
Reference |
[MAR21.5] |
Formula |
−∑i{Vi(x(RW(curvature)+)k)−Vi(xk)−RW(curvature)k⋅sik)} |
The measure GIRR Curvature CVR Up can be replicated with these measures: GIRR Curvature shock-up prices minus GIRR Curvature Delta Weighted Sensitivities.
See also