FRTB Accelerator Interpretation and Implementation of BCBS 457

These pages describe how the FRTB Accelerator interprets and implements the BCBS 457 specification. Including:

• The data model used in the accelerator
• The calculations (including measures and hierarchies)
• Configuration parameters
• How the model fits into the reference implementation (input files, datastore, cube)

Note

This document focuses on the data and analytics for BCBS 457. For broader information, please see the relevant parts of the FRTB Accelerator documentation set:

• Input file formats
• Datastore and Cube schemas
• Variations on the calculations, e.g. low- and high-correlation scenarios, Capital Allocation and Incremental measures.
• Booking and trade information