Navigation : Cube reference FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity -- CSR non-Sec -- CSR Sec CTP -- CSR Sec non-CTP --- Interpretation Note --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) ---- TradeBase ---- RiskFactorDescription ---- UnderlyingDescription ---- Delta ---- Vega ---- Curvature ---- CSRSecNonCTPBucket ---- CSRBucketDesc --- Cube (Reference Implementation) --- Configuration (Core) -- Equity -- FX -- GIRR CSRSecNonCTPBucket Data Model Field Store Field Notes Bucket Bucket 1-25 Credit Quality Category Rating Category Sector Category Sector Category Risk Class RiskClass “CSR Sec non-CTP” Curvature CSRBucketDesc
FRTB Accelerator Cubes Guide