Navigation :
test ../ test about.html
About
test ../ test about/qis-quick-start_qisonly.html
- Quick Start
test ../ test input-files.html
Input Data
test ../ test tutorials.html
Tutorials
test ../ test tutorials/how-to-prepare-data-for-qis.html
- How to Prepare Data for QIS
test ../ test tutorials/data-sanity-check.html
- Data Sanity 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 interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/standardisedapproach.html
--
StandardisedApproach
test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html
---
Aggregated RiskCharge by Class
test ../ test cube/measures/standardisedapproach/commodity.html
---
Commodity
test ../ test cube/measures/standardisedapproach/csr-non-sec.html
---
CSR non-Sec
test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html
---
CSR Sec CTP
test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html
---
CSR Sec non-CTP
test ../ test cube/measures/standardisedapproach/drc.html
---
DRC
test ../ test cube/measures/standardisedapproach/equity.html
---
Equity
test ../ test cube/measures/standardisedapproach/fx.html
---
FX
test ../ test cube/measures/standardisedapproach/girr.html
---
GIRR
test ../ test cube/measures/standardisedapproach/rrao.html
---
RRAO
test ../ test cube/residual-risk-add-on.html
---- Residual Risk Add On
test ../ test cube/dimensions.html
-
Dimensions
test ../ test glossary.html
Glossary
Residual Risk Add On
Description
The Residual risk add-on, RRAO
Reference
[MAR23.8]
Formula
$$RRAO = Addon \cdot Gross Notional$$
Residual Risk Add On is computed for trades bearing residual risk as a percentage of gross notional.
Trades bearing residual risk can be filtered using hierarchy [Risk].[Risk Classes] value “RRAO”.
Please note, that this measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under SA. We recommend applying a filter on [Booking].[FRTB Model] equal to “SA” to limit the scope to positions officially under the “SA” approach.