Navigation : Cube reference FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity -- CSR non-Sec -- CSR Sec CTP --- Implementation Note --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) ---- TradeBase ---- RiskFactorDescription ---- UnderlyingDescription ---- Delta ---- Vega ---- Curvature ---- CSRSecCTPBucket ---- CSRBucketDesc --- Cube (Reference Implementation) --- Configuration (Core) -- CSR Sec non-CTP -- Equity -- FX -- GIRR CSRSecCTPBucket Data Model Field Store Field Notes Bucket Bucket 1-16 Credit Quality Category Rating Category Sector Category Sector Category Risk Class RiskClass “CSR Sec CTP” Curvature CSRBucketDesc
FRTB Accelerator Cubes Guide