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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
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SA DRC
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SA 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)
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------- Delta/Vega Sensitivities
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------- Delta Sensitivities Long/Short
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------- Curvature Scenario Up/Down PV.CCY
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------- Delta/Vega/Curvature Risk Weight
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------- Delta/Vega Weighted Sensitivities
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------- Curvature Delta Sensitivities
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------- Curvature Shock Up/Down Prices
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------- Curvature CVR Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/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-sec-non-ctp/calculations/query-time-core/delta-vega-risk-position-corr.html
------- Delta/Vega Risk Position Correlations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-risk-position.html
------- Delta Vega Risk Position
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------- Curvature Risk Position Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-position-scenario.html
------- Curvature Risk Position Scenario
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-position.html
------- Curvature Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-risk-charge.html
------- Delta/Vega Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-charge.html
------- Curvature Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/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)
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Configuration (Core)
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Equity
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FX
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GIRR
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Analytics Reference
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Glossary
Delta/Vega Risk Charge
The
Delta /Vega
Risk Charge measures are $\text{Delta}$ and $\text{Vega}$ in [MAR21.4] (5).
They are calculated by combining the Delta/Vega Risk Positions (and
aggregated Delta/Vega Weighted Sensitivities ) over all Buckets
according to [MAR21.4] (5) and [MAR21.71] .
See Interpretation Note for discussion of different
interpretations of [MAR21.71] .