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DescriptionThe valuation impact of the downward scenario for curvature risk factors with delta effect removed
Reference[MAR21.5]
Formula−∑i{Vi(xk(RW(curvature)−))−Vi(xk)+RWk(curvature)⋅sik)}\displaystyle -\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)-})} \right ) -V_i(x_k)+RW_k^{(curvature)}\cdot s_{ik})\right \}
The measure FX Curvature CVR Down can be replicated with these measures: FX Curvature shock-down prices plus FX Curvature Delta Weighted Sensitivities.