Navigation : test ../ test user-ref.html User & Reference Guide test ../ test getting-started.html Getting started test ../ test getting-started/using-this-guide.html - Using this guide test ../ test getting-started/whats-new.html - What's New test ../ test getting-started/frtb-data-model.html - FRTB Data Model test ../ test tutorials.html Tutorials test ../ test tutorials/data-health-check.html - Data Health Check test ../ test tutorials/tips-for-validating-the-calculations.html - Tips for Validating the Calculations test ../ test tutorials/viewing-qis-numbers.html - Viewing QIS Numbers test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html - Workaround for deadlock issue when attempting to create partitions for reference stores test ../ test configuration.html Configuration files test ../ test sign-off.html Sign-Off Approvals test ../ test cube.html Data Cubes test ../ test cube/measures.html - Measures test ../ test cube/measures/measure-variations.html -- Measure variations test ../ test cube/measures/standardisedapproach.html -- StandardisedApproach test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html --- Aggregated RiskCharge by Class test ../ test cube/measures/standardisedapproach/commodity.html --- Commodity test ../ test cube/count.html --- Count test ../ test cube/measures/standardisedapproach/csr-non-sec.html --- CSR non-Sec test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html --- CSR Sec CTP test ../ test cube/measures/standardisedapproach/csr-sec-ctp/curvature.html ---- Curvature test ../ test cube/measures/standardisedapproach/csr-sec-ctp/delta.html ---- Delta test ../ test cube/csr-sec-ctp-delta-risk-charge.html ----- CSR Sec CTP Delta Risk Charge test ../ test cube/csr-sec-ctp-delta-risk-position.html ----- CSR Sec CTP Delta Risk Position test ../ test cube/csr-sec-ctp-delta-risk-position-correlations.html ----- CSR Sec CTP Delta Risk Position Correlations test ../ test cube/csr-sec-ctp-delta-risk-position-double-sums.html ----- CSR Sec CTP Delta Risk Position Double Sums test ../ test cube/csr-sec-ctp-delta-risk-weight.html ----- CSR Sec CTP Delta Risk Weight test ../ test cube/csr-sec-ctp-delta-sensitivities.html ----- CSR Sec CTP Delta Sensitivities test ../ test cube/csr-sec-ctp-delta-weighted-sensitivities.html ----- CSR Sec CTP Delta Weighted Sensitivities test ../ test cube/measures/standardisedapproach/csr-sec-ctp/vega.html ---- Vega test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html --- CSR Sec non-CTP test ../ test cube/measures/standardisedapproach/drc.html --- DRC test ../ test cube/measures/standardisedapproach/equity.html --- Equity test ../ test cube/measures/standardisedapproach/fx.html --- FX test ../ test cube/measures/standardisedapproach/girr.html --- GIRR test ../ test cube/notional.html --- Notional test ../ test cube/notional-original-currency.html --- Notional (Original Currency) test ../ test cube/notional-original-currency-drc.html --- Notional (Original Currency) DRC test ../ test cube/notional-drc.html --- Notional DRC test ../ test cube/pv.html --- PV test ../ test cube/pv-drc.html --- PV DRC test ../ test cube/pv.ccy.html --- PV.CCY test ../ test cube/measures/standardisedapproach/rrao.html --- RRAO test ../ test cube/timestamp.html --- Timestamp test ../ test cube/dimensions.html - Dimensions test ../ test what-if.html What-If Analysis test ../ test datastore.html Data Stores test ../ test input-files.html Input Files test ../ test dev.html Developer Guide test ../ test dev/dev-release.html - Release and migration notes test ../ test dev/dev-getting-started.html - Getting Started test ../ test dev/dev-ref-impl.html - FRTB Reference Implementation test ../ test dev/dev-core.html - FRTB Core test ../ test dev/dev-extensions.html - Extending the Accelerator test ../ test dev/dev-tools.html - Configuring Accelerator tools and methodologies test ../ test dev/dev-sign-off.html - Sign-Off test ../ test interpret-impl.html FRTB Accelerator Interpretation and Implementation of BCBS 457 test ../ test pdf-guides.html PDF Guides test ../ test glossary.html Glossary CSR Sec CTP Delta Sensitivities sbm Description The CSR Sec CTP delta Variations long (imported)(netted)(reported) short (imported)(netted)(reported) Reference [MAR21.21] Notation $s_k$ See also CSR Sec CTP Delta Risk Charge CSR Sec CTP Delta Risk Position CSR Sec CTP Delta Risk Position Correlations CSR Sec CTP Delta Risk Position Double Sums CSR Sec CTP Delta Risk Weight CSR Sec CTP Delta Weighted Sensitivities CSR Sec CTP Delta Risk Weight CSR Sec CTP Delta Weighted Sensitivities