Navigation : Cube reference FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity -- CSR non-Sec --- Data Model (Core) --- Calculations ---- ETL (Reference Implementation) ---- Query Time (Core) ----- Delta/Vega Sensitivities ----- Curvature Scenario Up/Down PV.CCY ----- Delta/Vega/Curvature Risk Weight ----- Delta/Vega Weighted Sensitivities ----- Curvature Delta Sensitivities ----- Curvature Shock Up/Down Prices ----- Curvature CVR Up/Down ----- Delta/Vega Risk Position Double Sums ----- Delta/Vega Risk Position Correlations ----- Delta Vega Risk Position ----- Curvature Risk Position Up/Down ----- Curvature Risk Position Scenario ----- Curvature Risk Position ----- Delta/Vega Risk Charge ----- Curvature Risk Charge --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) --- Cube (Reference Implementation) --- Configuration (Core) -- CSR Sec CTP -- CSR Sec non-CTP -- Equity -- FX -- GIRR Delta/Vega Weighted Sensitivities The Delta/Vega Weighted Sensitivities measures are $WS_k$ in [MAR21.4](3). For each Risk Factor $k$, the Delta/Vega Sensitivities measures are multiplied by the Delta/Vega Risk Weight. Delta/Vega/Curvature Risk Weight Curvature Delta Sensitivities