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Documentation Index

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sbm
DescriptionThe net curvature risk requirement in a bucket
Variationshigh-low
Hierarchies required in the viewFX Buckets
Reference[MAR21.5]
NotationSbS_b
FormulaSb=∑kCVRk+when scenario is upward, Sb=∑kCVRk−when scenario is downward\displaystyle S_b = \sum_k CVR_k^{+}\text{when scenario is upward, } \\ S_b = \sum_k CVR_k^{-}\text{when scenario is downward}