GIRR curvature CVR up

sbm


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

GIRR curvature CVR down

GIRR curvature delta sensitivities

⌘I