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FRTB Accelerator Interpretation and Implementation of BCBS 457
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DRC
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SBM
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Commodity
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CSR non-Sec
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CSR Sec CTP
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CSR Sec non-CTP
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Equity
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FX
--- Implementation Note
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Data Model (Core)
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Calculations
---- ETL (Reference Implementation)
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Query Time (Core)
----- Delta/Vega Sensitivities
----- Curvature Scenario Up/Down PV.CCY
----- Delta/Vega/Curvature Risk Weight
----- Delta/Vega Weighted Sensitivities
----- Curvature Delta Sensitivities
----- Curvature Shock Up/Down Prices
----- Curvature CVR Up/Down
----- Delta/Vega Risk Position Double Sums
----- Delta/Vega Risk Position Correlations
----- Delta Vega Risk Position
----- Curvature Risk Position Up/Down
----- Curvature Risk Position Scenario
----- Curvature Risk Position
----- Delta/Vega Risk Charge
----- Curvature Risk Charge
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Input Files (Reference Implementation)
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Config Files
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Datastore (Reference Implementation)
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Cube (Reference Implementation)
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Configuration (Core)
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GIRR
Delta Vega Risk Position
The
Delta /Vega
Risk Position measures are $K_b$ in [MAR21.4] (4).
For each Bucket , the Delta/Vega Risk Position is calculated
from the Delta/Vega Weighted Sensitivities and Delta/Vega Risk Position Correlations
using the formula in [MAR21.4] (4).
Implementation Note: This calculation has been optimised so that it
is performed with $O(N)$ (linear) time complexity, where $N$ is the
number of Risk Factors .