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 -- Equity -- FX -- GIRR --- Interpretation Note --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) ---- TradeBase ---- RiskFactorDescription ---- UnderlyingDescription ---- Delta ---- Vega ---- Curvature --- Cube (Reference Implementation) --- Configuration (Core) RiskFactorDescription Data Model Field Store Field Notes As-Of Date AsOfDate Risk Factor Name Risk Factor Risk Class RiskClass “GIRR” Risk Measure Risk Measure “Delta”, “Vega”, or “Curvature” Curve Name Underlying TradeBase UnderlyingDescription
FRTB Accelerator Cubes Guide