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sbm
DescriptionThe bucket-level capital charge for equity curvature also known as risk position, under the ‘Medium correlations’ scenario
Variationsincremental, high-low, euler, netted, reported
Hierarchies required in the viewEquity Buckets
Reference[MAR21.5]
NotationKbMediumCorrK_b MediumCorr
FormulaKb=max(Kb+,Kb−)\displaystyle K_b=max(K_b^{+},K_b^{-})