Navigation :
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User & Reference Guide
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Getting started
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- Using this guide
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- What's New
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- FRTB Data Model
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Tutorials
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- Data Health Check
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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- Workaround for deadlock issue when attempting to create partitions for reference stores
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Configuration files
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Sign-Off Approvals
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Data Cubes
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What-If Analysis
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Data Stores
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Input Files
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Developer Guide
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Getting Started
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FRTB Reference Implementation
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FRTB Core
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Extending the Accelerator
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Configuring Accelerator tools and methodologies
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FRTB Accelerator Interpretation and Implementation of BCBS 457
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ACR
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--
SA
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--- Key SA Measures
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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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----- Implementation Note
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Data Model (Core)
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Calculations
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------ ETL (Reference Implementation)
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Query Time (Core)
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------- Delta/Vega Sensitivities
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------- Delta Sensitivities Long/Short
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------- Curvature Scenario Up/Down PV.CCY
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------- Delta/Vega/Curvature Risk Weight
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------- Delta/Vega Weighted Sensitivities
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------- Curvature Delta Sensitivities
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------- Curvature Shock Up/Down Prices
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------- Curvature CVR Up/Down
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------- Delta/Vega Risk Position Double Sums
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------- Delta/Vega Risk Position Correlations
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------- Delta Vega Risk Position
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------- Curvature Risk Position Up/Down
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------- Curvature Risk Position Scenario
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------- Curvature Risk Position
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------- Delta/Vega Risk Charge
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------- 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 Schema (Reference Implementation)
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Configuration (Core)
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CSR Sec non-CTP
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Equity
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FX
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GIRR
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--
IMA
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Jurisdictions
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FRTB P&L Attribution Tests and Backtesting
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PDF Guides
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Glossary
Curvature Scenario Up/Down PV.CCY
The Scenario Up/Down PV.CCY
measures are vectors of shocked prices indexed by risk weight.
For each Sensitivity Currency , the Shock Up/Down prices are
converted to the reference currency using the IFxRates API. After this
currency conversion, the values are aggregated for each Risk
Factor .