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FRTB Accelerator Interpretation and Implementation of BCBS 457
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DRC
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SBM
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Commodity
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CSR non-Sec
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CSR Sec CTP
--- Implementation Note
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Data Model (Core)
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Calculations
---- ETL (Reference Implementation)
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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
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Input Files (Reference Implementation)
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Config Files
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Datastore (Reference Implementation)
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Cube (Reference Implementation)
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Configuration (Core)
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CSR Sec non-CTP
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Equity
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FX
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GIRR
Curvature Shock Up/Down Prices
The Curvature
shock-up /down
prices measures are $V_i\left(x_k^{RW^{(Curvature)}\pm}\right) - V_i\left(x_k\right)$ in [MAR21.5] (2).
Using linear interpolation, the shocked prices corresponding to the
Curvature Risk Weight are determined from the Curvature Scenario
UP/Down.CCY vectors. And, if PV Applied is not true/yes, the trade
PV is subtracted.