Interpretation and Implementation of the MAR standard

These pages describe how FRTB SA QIS interprets and implements the calculation of RWA for market risk (MAR) standard in the Basel Framework specification. Including:

• The data model used in FRTB SA QIS
• 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

• Input file formats
• Cube schemas
• Booking and trade information