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) ---- SBM_Delta_Sensitivities*.csv ---- SBM_Vega_Sensitivities*.csv ---- CRIF ---- SBM_Curvature_Sensitivities*.csv --- Config Files --- Datastore (Reference Implementation) --- Cube (Reference Implementation) --- Configuration (Core) Input Files (Reference Implementation) This section describes how the input files containing the sensitivities and mappings are used for the GIRR risk class Curvature Risk Charge SBM_Delta_Sensitivities*.csv
FRTB Accelerator Cubes Guide