Qu'est-ce que « Curvature risk charge » ?

The curvature risk charge captures the losses of options beyond their delta: each risk factor is shocked up and down by its risk weight, and the loss beyond the delta term, $\mathrm{CVR}^\pm = -\sum_i(V_i(x^\pm)-V_i(x)\mp\mathrm{RW}\,s_i)$, is charged, the larger of the two directions.