Skip to main content
The Curvature Risk Charge measure is Curvature risk\text{Curvature risk} in MAR21.5(4). It is calculated by combining the Curvature Risk Positions (and aggregated CVR Up or CVR Down values) over all Buckets according to MAR21.5(4) and MAR21.71. See Interpretation Note for discussion of different interpretations of MAR21.71.