FX curvature CVR down

sbm


Description	The valuation impact of the downward scenario for curvature risk factors with delta effect removed
Reference	[MAR21.5]
Formula	$\displaystyle -\sum_{i}\left \{ V_i\left ( x_k^{(RW^{(curvature)-})} \right ) -V_i(x_k)+RW_k^{(curvature)}\cdot s_{ik})\right \}$

The measure FX Curvature CVR Down can be replicated with these measures: FX Curvature shock-down prices plus FX Curvature Delta Weighted Sensitivities.

FX curvature CVR

FX curvature CVR up

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