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.
CSR Sec CTP Curvature Bucket Scenario
Indicates which scenario at the bucket level - up or down - resulted in the worst loss for the curvature risk factor
CSR Sec CTP Curvature CVR Down
The valuation impact of the downward scenario for curvature risk factors with delta effect removed
CSR Sec CTP Curvature CVR Up
The valuation impact of the upward scenario after deduction of delta risk position for curvature risk factors
CSR Sec CTP Curvature CVR
The valuation impact of the upward or downward scenario for curvature risk factors based on the curvature scenario at the bucket level
CSR Sec CTP Curvature Delta Sensitivities
CSR sec CTP delta for trades having curvature risk
CSR Sec CTP Curvature Delta Weighted Sensitivities
The delta effect which will be removed from the curvature shocked scenario PL
CSR Sec CTP Curvature Risk Charge
The CSR Sec CTP curvature risk charge based on the ‘Medium correlations’ scenario
CSR Sec CTP Curvature Risk Position Down
The bucket level capital requirement under the downward scenario
CSR Sec CTP Curvature Risk Position Scenario
Indicates which scenario - up or down - resulted in the worst loss for a risk factor
CSR Sec CTP Curvature Risk Position Up
The bucket level capital requirement under the upward scenario
CSR Sec CTP Curvature Risk Position
The bucket-level capital charge for CSR Sec CTP curvature also known as risk position, under the ‘Medium correlations’ scenario
CSR Sec CTP Curvature Risk Weight
The risk weights applied in curvature calculations
CSR Sec CTP Curvature Sb
The net curvature risk requirement in a bucket
CSR Sec CTP Curvature shock-down prices
The valuation impact of the downward scenario
CSR Sec CTP Curvature shock-up prices
The valuation impact of the upward scenario