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
test ../../../../../../../ test getting-started/frtb-data-model.html
- FRTB Data Model
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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
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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
test ../../../../../../../ test dev/dev-core.html
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FRTB Core
test ../../../../../../../ test dev/dev-extensions.html
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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
test ../../../../../../../ test interpret-impl/acr.html
-
ACR
test ../../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../../ test interpret-impl/acr/sa/key-measures-sa.html
--- Key SA Measures
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---
SBM
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----
Commodity
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec.html
----
CSR non-Sec
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp.html
----
CSR Sec CTP
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----
CSR Sec non-CTP
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----
Equity
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FX
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
GIRR
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/interpretation-note.html
----- Interpretation Note
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/data-model-core.html
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Data Model (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations.html
-----
Calculations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/etl.html
------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/delta-vega-sensi.html
------- Delta/Vega Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/delta-sensi-long-short.html
------- Delta Sensitivities Long/Short
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/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/girr/calculations/query-time-core/delta-vega-curv-rw.html
------- Delta/Vega/Curvature Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/delta-vega-weighted-sensi.html
------- Delta/Vega Weighted Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-delta-sensi.html
------- Curvature Delta Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-shock-up-down.html
------- Curvature Shock Up/Down Prices
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-cvr-up-down.html
------- Curvature CVR Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/delta-vega-risk-position-double-sums.html
------- Delta/Vega Risk Position Double Sums
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/delta-vega-risk-position-corr.html
------- Delta/Vega Risk Position Correlations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/delta-vega-risk-position.html
------- Delta Vega Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-risk-position-up-down.html
------- Curvature Risk Position Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-risk-position-scenario.html
------- Curvature Risk Position Scenario
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-risk-position.html
------- Curvature Risk Position
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------- Delta/Vega Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/calculations/query-time-core/curv-risk-charge.html
------- Curvature Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/input-files-ref-impl.html
-----
Input Files (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/config-files.html
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Config Files
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Datastore (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/cube-ref-impl.html
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Cube Schema (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/configuration-core.html
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Configuration (Core)
test ../../../../../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../../../../../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../../../../../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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FRTB P&L Attribution Tests and Backtesting
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test ../../../../../../../ test pdf-guides.html
PDF Guides
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Glossary
Curvature Risk Position Scenario
Within each Bucket , the Curvature Risk Position
Scenario Curvature Risk Position Up and
Curvature Risk Position Down values is the greater.