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 --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) ---- TradeBase ---- RiskFactorDescription ---- UnderlyingDescription ---- Delta ---- Vega ---- Curvature ---- CSRNonSecBucket ---- CSRBucketDesc --- Cube (Reference Implementation) --- Configuration (Core) -- CSR Sec CTP -- CSR Sec non-CTP -- Equity -- FX -- GIRR UnderlyingDescription Data Model Field Store Field Notes As-Of Date AsOfDate Issuer Name Underlying Risk Class RiskClass “CSR non-Sec” Credit Quality CSRQuality Sector CSRSector Covered Bond Rating CSRRating “high” or “low” RiskFactorDescription Delta
FRTB Accelerator Cubes Guide