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