FRTB Accelerator Cubes GuideProRataLeafLevel
| Description | Select a level for bottom-up Pro-Rata Capital Allocations |
|---|---|
| Variations |
This context value enables bottom-up calculation for a Pro-rata measure. Please note that ProRataHierarchy context value must be set to “NONE”.
The capital charge is calculated at the leaf level, then pro-rata coefficients are computed so that the scaled leaf-level charges sum to the charge at the ReferenceLevel.
Scaled Leaf-level charges are additive and can be rolled up to any level.