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