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IM_Equity_CurvatureMargin
Description |
Margin aggregation from Equity curvature sensitivities |
Notation |
CurvatureMarginRiskClassCurvatureMarginRiskClass |
Formula |
CurvatureMargin=CurvatureMarginnon−residual+CurvatureMarginresidual,CurvatureMargin=max(∑b,kCVRb,k+λ⋅√∑bK2b+∑b∑c≠bγ2b,c⋅Sb⋅Sc,0) |