| Description | The bucket level capital requirement under the downward scenario |
| Variations | high-low |
| Hierarchies required in the view | CSR non-Sec Buckets |
| Reference | [MAR21.5] |
| Notation | Kb− |
| Formula | Kb−=max0,k∈b∑max(CVRk−,0)2+k∈b∑l∈b,l=k∑ρkl⋅CVRk−⋅CVRl−⋅ψ(CVRk−,CVRl−) |
CSR non-sec curvature risk position down
The CSR non-Sec Curvature Risk Position Down (K_b-) in FRTBCombinedCube, the bucket-level curvature capital requirement under the downward scenario per Basel MAR21.5