FRTB Accelerator Interpretation and Implementation of BCBS 457

These pages describe how the FRTB Accelerator interprets and implements the BCBS 457 specification. Including:

• The data model used in the FRTB Accelerator
• The calculations (including measures and hierarchies)
• Configuration parameters
• How the model fits into the reference implementation (input files, datastore, cube)
• The implementation (that is, the cube specification and file formats) of P&L Attribution Tests and Backtesting

Note

This document focuses on the data and analytics for BCBS 457. For broader information, please see the relevant parts of the FRTB Accelerator documentation set:

• Input file formats
• Datastore and Cube schemas
• Variations on the calculations, e.g. low- and high-correlation scenarios, Capital Allocation and Incremental measures.
• Booking and trade information