| Description | The delta effect which will be removed from curvature shocked scenario PL |
| Reference | [MAR21.5] |
| Notation | |
| Formula |
Commodity curvature delta weighted sensitivities
The Commodity Curvature Delta Weighted Sensitivities measure in FRTBCombinedCube, computing the delta effect (RW_k x s_ik) subtracted from curvature shocked PL per Basel MAR21.5
sbm
This measure matches Commodity Delta Sensitivities for trades and risk factors having curvature risk charges.