Navigation : Cube reference FRTB Input File Formats Datastores - - Global Datastore Definition - Internal Models Approach Datastore Definition - Parameter Set Datastore Definition -- CommodityBucketRiskWeights -- CommodityIntraBucketCorrelations -- CSRBucketCorrelations -- CSRBucketsRiskWeight -- DRCWeight -- EquityBucketsRiskWeight -- ERBARiskWeight -- FRTBParameters -- FXDeltaSpecialCrosses -- GIRRDeltaWeighting -- GIRRMajorCurrency -- IMAMultiplier -- InstrumentToLGD -- LiquidityHorizons -- ObligorToRiskWeight -- OptionResidualMaturityVertices -- ParameterSet -- VegaRiskWeights -- Vertices - Standardised Approach Datastore Definition FRTB Accelerator Interpretation and Implementation of BCBS 457 ParameterSet Store Field Key CanBeNull Type Cube Field Description Jurisdiction Y String ParentJurisdiction Y String AsOfDate LOCALDATE[yyyy-mm-dd] OptionResidualMaturityVertices VegaRiskWeights
FRTB Accelerator Cubes Guide