Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
Commodity Curvature Bucket Scenario
Indicates which scenario at the bucket level - up or down - resulted in the worst loss for the curvature risk factor
Commodity Curvature CVR Down
The valuation impact of the downward scenario for curvature risk factors with delta effect removed
Commodity Curvature CVR Up
The valuation impact of the upward scenario for curvature risk factors with delta effect removed
Commodity Curvature CVR
The valuation impact of the upward or downward scenario for curvature risk factors based on the curvature scenario at the bucket level
Commodity Curvature Delta Sensitivities
The commodity delta for trades having curvature risk
Commodity Curvature Delta Weighted Sensitivities
The delta effect which will be removed from curvature shocked scenario PL
Commodity Curvature Risk Charge
The commodity curvature risk charge based on the ‘Medium correlations’ scenario
Commodity Curvature Risk Position Down
The bucket level capital requirement under the downward scenario
Commodity Curvature Risk Position Scenario
Indicates which scenario - up or down - resulted in the worst loss for the curvature risk factor
Commodity Curvature Risk Position Up
The bucket level capital requirement under the upward scenario
Commodity Curvature Risk Position
The bucket-level capital charge for commodity curvature also known as risk position, under the ‘Medium correlations’ scenario
Commodity Curvature Risk Weight
The risk weights applied in curvature calculations
Commodity Curvature Sb
Net curvature risk requirement in a bucket
Commodity Curvature shock-down prices
The valuation impact of the downward scenario
Commodity Curvature shock-up prices
The valuation impact of the upward scenario