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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Release and migration notes
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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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Sign-Off
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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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----
CSR Sec non-CTP
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----- Interpretation 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)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-sensi.html
------- Delta/Vega Sensitivities
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------- Delta Sensitivities Long/Short
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curvature-scenario-up-down-pv-ccy.html
------- Curvature Scenario Up/Down PV.CCY
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-curv-rw.html
------- Delta/Vega/Curvature Risk Weight
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------- Delta/Vega Weighted Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-delta-sensi.html
------- 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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Equity
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FX
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GIRR
test ../../../../../../../ test interpret-impl/acr/ima.html
--
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 CVR Up/Down
The Curvature CVR
Up /Down
measures are $CVR_k^\pm$ in [MAR21.5]
The Curvature Delta Sensitivities are multiplied by the Curvature
Risk Weight and subtracted from/added to the Curvature Shocked
Up/Down Prices (respectively).