Measures
This section provides documentation of the measures implementing the regulatory calculations.
Please refer to the ActiveUI User Guide for the “Data Explorer” and “Pivot Table” widgets to learn how to search and display the measures.
Required hierarchies
Some of the measures do not display any value until you add the required hierarchies - for instance, bucket level charges in the SBM approach require having buckets in the view. Please refer to the individual measure descriptions to learn which hierarchy/levels are required (if any).
Variations
For some of the measures, a user may select a “variation” of the measure which implements a certain behavior. For instance, “Euler” version of the ACR measure will allocate the charge down to additive components. You will see the variations (if any) available for a measure in its description.
| Variation | Description | Pattern |
|---|---|---|
| Euler | One of the approaches implemented in the FRTB Accelerator to decompose a non-linear measure down to additive components. Uses Analytical and Numerical Euler methods. | *<Main Measure Name>*Euler |
| Imported | Import values to be included in the cube for reporting purposes via an optional file and its corresponding store. | *<Main Measure Name>*Imported |
| Incremental | Evaluate the impact of a trade or a group of trades (‘current scope’) on the result at a selected ReferenceLevel, by comparing it with the computation as if the given trade or aggregate of trades were hypothetically removed. | *<Main Measure Name>*Incremental |
| Netted | Map Legal Entities (and hence all sensitivities) to “netting sets” via an optional file and its corresponding store. The capital charges can be calculated independently for each netting set and summed. | *<Main Measure Name>*Netted |
| Pro-rata | One of the approaches implemented in the FRTB Accelerator to decompose a non-linear measure down to additive components. | *<Main Measure Name>*Pro-Rata |
| Reported | Include the impact of the netting sets and imported values | *<Main Measure Name>*Reported |
| Spot analysis | Focus on the most recent observation date only | *<Main Measure Name>*Spot |