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