Navigation :
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About
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- Quick Start
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Input Data
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Tutorials
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- How to Prepare Data for QIS
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- Data Sanity Check
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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Interpretation and Implementation of the MAR standard
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ACR
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SA
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc.html
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SA DRC
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SA SBM
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/commodity.html
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Commodity
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec.html
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CSR non-Sec
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/data-model-core.html
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Data Model (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations.html
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Calculations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/etl.html
------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core.html
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Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/delta-vega-sensi.html
------- Delta/Vega Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/delta-sensi-long-short.html
------- Delta Sensitivities Long/Short
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/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-non-sec/calculations/query-time-core/delta-vega-curv-rw.html
------- Delta/Vega/Curvature Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/delta-vega-weighted-sensi.html
------- Delta/Vega Weighted Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-delta-sensi.html
------- Curvature Delta Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-shock-up-down.html
------- Curvature Shock Up/Down Prices
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-cvr-up-down.html
------- Curvature CVR Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/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/csr-non-sec/calculations/query-time-core/delta-vega-risk-position-corr.html
------- Delta/Vega Risk Position Correlations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/delta-vega-risk-position.html
------- Delta/Vega Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-risk-position-up-down.html
------- Curvature Risk Position Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-risk-position-scenario.html
------- Curvature Risk Position Scenario
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-risk-position.html
------- Curvature Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/delta-vega-risk-charge.html
------- Delta/Vega Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/calculations/query-time-core/curv-risk-charge.html
------- Curvature Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/input-files-ref-impl.html
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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)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec/configuration-core.html
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Configuration (Core)
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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
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GIRR
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Analytics Reference
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Glossary
Delta/Vega/Curvature Risk Weight
The
Delta /Vega /Curvature Risk Weight
measures are $RW_k$ in [MAR21.4] (3) and
$RW_k^{(Curvature)}$ in [MAR21.5] (2)(e).
For Delta and Curvature, following [MAR21.53] , the values are
looked up based on the configuration for the Risk Factor’s Bucket .
For Covered Bonds (bucket 8), when Covered Bond Rating is “high” an
alternative risk weight may be looked up instead.
For Vega, following [MAR21.92] , the value is looked up based on
the configuration for the Risk Class (and its liquidity horizon).