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DescriptionThe valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors
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 Up can be replicated with these measures: FX Curvature shock-up prices minus FX Curvature Delta Weighted Sensitivities.