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 RiskFactorDescription Store Field Key CanBeNull Type Cube Field Description Risk Factor Y String See field in referencing store (TradeBase) RiskClass Y String See field in referencing store (TradeBase) Risk Measure Y String See field in referencing store (TradeBase) Underlying String [Market Data].[Underlying] Risk Factor Type String [Risk].[Risk Factor Types] CommodityLocation String [Risk].[Commodity Location] UnderlyingFXRiskCcy String [Risk].[FX Counter Currency] AsOfDate Y LOCALDATE[yyyy-mm-dd] See field in referencing store (TradeBase) Timestamp (at close of business) for the data. Obligor SATradeDescription
FRTB Accelerator Cubes Guide