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sbm
DescriptionThe bucket level capital requirement under the downward scenario
Variationshigh-low
Hierarchies required in the viewFX Buckets
Reference[MAR21.5]
NotationKb−K_b^{-}
FormulaKb−=max(0,∑k∈bmax(CVRk−,0)2+∑k∈b∑l∈b,l≠kρkl⋅CVRk−⋅CVRl−⋅ψ(CVRk−,CVRl−))\displaystyle K_{b}^{-} =\sqrt{max\left(0,\sum _{k\in b} max(CVR_k^{-},0)^{2} +\sum _{k\in b}\sum _{l\in b, l\neq k}\rho_{kl}\cdot CVR_k^{-} \cdot CVR_l^{-} \cdot \psi(CVR_k^{-},CVR_l^{-})\right)}