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