Getting started with the FRTB Accelerator

The objective of the FRTB Accelerator is for a client to be able to calculate total Aggregated Capital Charge for their bank or institution.

This total Aggregated Capital Charge may need to be calculated in one of three ways:

Approach	How the calculation is done
SA only	SA is used for the entire Trading Book. The Capital Risk Charge calculated (using SA) for the bank is used as the total Aggregated Capital Charge.
IMA only	IMA is used for the entire Trading Book. the Aggregated Capital Charge calculated (using IMA) for the Bank is used as the total Aggregated Capital Charge.
SA and IMA	SA is used for specific trading desks and IMA is used for the remainder. The SA Capital Risk Charge is then added to the IMA Aggregated Capital Charge, to calculate the total Aggregated Capital Charge.

FRTB (SA) Top-down View - Introducing Capital Risk Charge

The diagram below provides a structured overview of the building blocks of the capital risk charge. Starting with the 'Capital Risk Charge' and other high-level measures, and finishing with the lowest -level (building block) components, such as Risk Weights for Delta, Vega and Curvature, links in each block provide descriptions for each of these component parts, while at the time relating and linking them to the formulas used within BCBS 352 specification.

Analysts can use these sections when investigating any anomalies that may present themselves when looking at the total Portfolio Risk Charge and then work downwards through this figure's constituent parts to isolate and analyse the origins of the perceived anomaly.

The BCBS Compliance section provides access to a hierarchy of pages describing the key Measures you need to extract from the FRTB Accelerator to comply with the FRTB regulations to compute the Aggregated /Capital Risk Charge. Refer to the FRTB Measures documentation for details of each measure.
The FRTB Data Model section explains the input data, datastore and cube structure that FRTB Accelerator requires to produce these calculations.
The preconfigured dashboards provided in the Accelerator cover the basic use cases in FRTB analysis and calculation. This section will walk you through them to demonstrate how you can use the Accelerator to explore your data. You can use these as a starting point and replace them over time by creating your own collections of dashboards for presenting and monitoring the results, explaining the numbers and their dynamics, and so on.
About What-If analysis describes how to fine-tune your analyses with powerful simulations
The Glossary of FRTB Accelerator terms explains key terms used in the FRTB Accelerator
For developers, the Getting Started guide explains how to set up your FRTB Accelerator project, and provides customisation guidelines and options.