FRTB Accelerator Cubes GuideSensitivities
Sensitivities are identified by the following fields:
| Key Field | Description |
|---|---|
| As-of Date | Timestamp (at close of business) for the data (T-1) |
| Trade ID | A unique identifier for the trade (or position) |
| Risk Factor Name | A unique identifier for the risk-factor (not including vertices) |
| Risk Class | “CSR Sec non-CTP” |
| Risk Measure | “Delta”, “Vega”, or “Curvature” |
| Sensitivity Tenor | The tenor in the credit spread curve (Delta) |
| Option Maturity | The maturity of the option (Vega) |
Sensitivities have the following attributes:
| Attribute Field | Description |
|---|---|
| Sensitivity | The sensitivity value $s_k$ (Delta and Vega) |
| Shock Up/Down | The up and down shocked prices (Curvature). |
| Sensitivity Currency | Currency in which the sensitivity or shocked price is expressed. |
| Risk Weight | Risk weight used for the shocked prices (Curvature) |
| PV Applied | Has the PV been subtracted from the shocked prices (Curvature)? |
| Optionality | Should the Delta sensitivity be included in the Curvature Calculation (Delta)? |
| Interpolated Sensitivities | Sensitivities interpolated to the prescribed vertices (Delta and Vega) |