Navigation : Cube reference - Measures -- ACR --- ACR --- CA-GA --- Capital Surcharge --- CU --- IMA-GA --- IMADRC --- Lookback --- RWA --- SA-GA -- IMADRC -- InternalModelApproach -- PL -- PLSummary -- StandardisedApproach - Context values - Dimensions FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 ACR ima Description The aggregate capital requirement for market risk Variations euler incremental spot IRT / non-IRT Reference [MAR33.43] Formula ACRtotal=min{IMAGA+CapitalSurcharge+CU;SAall desk}+max{0;IMAG,A−SAG,A} See also CA CA-GA CU Capital Surcharge IMA-GA IMADRC Portfolio Risk Charge RWA Residual Risk Add On SA-GA ACR CA-GA
FRTB Accelerator Cubes Guide