FRTB Accelerator Cube GuideCube
You can query any of these cubes available in the FRTB Accelerator:
- StandardisedApproachCube - transaction-level risk data for computing SBM and DRC SA
- InternalModelApproachCube - transaction-level risk data for computing IM (non-DRC) measures
- IMADRCCube - transaction-level risk data for computing DRC IM metrics
- IMASummaryCube - pre-aggregated time-series of data for computing historical IM (non-DRC) measures
- PLCube - transaction-level risk data for computing Value-at-Risk
- PLSummaryCube - pre-aggregated time-series of PL and Value-at-Risk for model eligibility testing metrics
- FRTBCombinedCube - combined query cube
We recommend querying the combined FRTBCombinedCube, since it consolidates all the implemented results. The measures section provides the comprehensive documentation of measures, all of them are available in the “FRTBCombinedCube”.
The FRTBCombinedCube will display the measures from the original cubes “as is” in most cases. However, when the same measure is available from two cubes (for instance, IMCC in the IMASummaryCube and in the InternalModelApproachCube), the combined result (IMCC) will show the most granular source by default (in this case, the InternalModelApproach cube). You have an option to select the version of the measure explicitly by choosing the IMCC.IMASummaryMeasures or IMCC.IMAMeasures measure.