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IM_IR_CurvatureMargin_Partial

Formula CurvatureMargin=max(∑b,kCVRb,k+λ⋅∑bKb2+∑b∑c≠bγb,c2⋅Sb⋅Sc,0)CurvatureMargin =max\left ( \sum_{b,k} CVR_{b,k} + \lambda \cdot \sqrt{\sum_{b}K_{b}^{2} + \sum_{b}{\sum_{c \neq b} \gamma_{b,c}^2 \cdot S_{b} \cdot S_{c}}} ,0 \right )

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Lambda_Commodity

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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LAMBDA_CreditNonQ_Non-residual

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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LAMBDA_CreditNonQ_residual

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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LAMBDA_CreditQ_Non-residual

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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LAMBDA_CreditQ_residual

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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LAMBDA_Equity_Non-residual

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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LAMBDA_Equity_residual

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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Lambda_FX

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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Lambda_IR

Formula λ=((Φ99.5−1)2−1)(1+θ)−θ\lambda =( \left ( \Phi_{99.5}^{-1} \right )^2-1)(1+\theta)-\theta

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Theta_Commodity

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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THETA_CreditNonQ_Non-residual

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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THETA_CreditNonQ_residual

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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THETA_CreditQ_Non-residual

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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THETA_CreditQ_residual

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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THETA_Equity_Non-residual

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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THETA_Equity_residual

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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Theta_FX

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )

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Theta_IR

Formula θ=min(∑b,kCVRb,k∑b,k∣CVRb,k∣,0)\theta = min\left ( \frac{\sum_{b,k} CVR_{b,k}}{\sum_{b,k}|CVR_{b,k}|} ,0\right )