Navigation : Cube reference FRTB Input File Formats Datastores - - Global Datastore Definition - Internal Models Approach Datastore Definition - Parameter Set Datastore Definition - Standardised Approach Datastore Definition -- CommodityBuckets -- CSRBucketDesc -- CSRNonSecBucket -- CSRSecCTPBucket -- CSRSecNonCTPBucket -- Curvature -- Delta -- DRCBase -- DrcSecNonCtpBuckets -- EquityBuckets -- FXBuckets -- GIRRBuckets -- Obligor -- RiskFactorDescription -- SATradeDescription -- TradeBase -- Tranche -- UnderlyingDescription -- Vega FRTB Accelerator Interpretation and Implementation of BCBS 457 Obligor Store Field Key CanBeNull Type Cube Field Description ObligorId Y String [Default Risk Charge].[DRC Obligor] The Id of the obligor. ObligorCategory String [Default Risk Charge].[DRC non-Sec Bucket] Rating String [Default Risk Charge].[DRC non-Sec Rating] AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (TradeBase) Timestamp (at close of business) for the data. GIRRBuckets RiskFactorDescription
FRTB Accelerator Cubes Guide