CSR non-sec curvature risk position up


Description	The bucket level capital requirement under the upward scenario
Variations	high-low
Hierarchies required in the view	CSR non-Sec Buckets
Reference	[MAR21.5]
Notation	$K_{b}^{+}$
Formula	$\displaystyle K_{b}^{+} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{+},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{+} \cdot CVR_l^{+} \cdot \psi(CVR_k^{+},CVR_l^{+})\right)}$

⌘I