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GIRR Curvature CVR Up

sbm
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)ksik)}

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