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sbm
DescriptionThe CSR Sec CTP curvature risk charge based on the ‘Medium correlations’ scenario
Variationsincremental, euler, high-low, pro_rata, netted, reported
Reference[MAR21.5]
NotationCurvatureriskCurvature risk
FormulaCurvature risk=max(0,∑bKb2+∑b∑c≠bγbc⋅Sb⋅Sc⋅ψ(Sb,Sc))\displaystyle Curvature\ risk = \sqrt{max\left ( 0,\sum _{b} K_{b}^{2} + \sum _{b}\sum _{c\neq b}\gamma_{bc}\cdot S_b \cdot S_c \cdot \psi (S_b,S_c) \right )}