Navigation : Getting started - About - CRR2 support - Glossary Tutorials - Data Health Check - Tips for Validating the Calculations - Viewing QIS Numbers - Workaround for deadlock issue when attempting to create partitions for reference stores Cube reference - Measures -- StandardisedApproach --- Aggregated RiskCharge by Class --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP ---- Curvature ---- Delta ----- CSR Sec CTP Delta Risk Charge ----- CSR Sec CTP Delta Risk Position ----- CSR Sec CTP Delta Risk Position Correlations ----- CSR Sec CTP Delta Risk Position Double Sums ----- CSR Sec CTP Delta Risk Weight ----- CSR Sec CTP Delta Sensitivities ----- CSR Sec CTP Delta Weighted Sensitivities ---- Vega --- CSR Sec non-CTP --- DRC --- Equity --- FX --- GIRR --- Notional --- Notional (Original Currency) --- Notional (Original Currency) DRC --- Notional DRC --- PV --- PV DRC --- PV.CCY --- RRAO --- Timestamp - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 CSR Sec CTP Delta Sensitivities sbm Description The CSR Sec CTP delta Variations long short Reference [MAR21.21] Notation $s_k$ See also CSR Sec CTP Delta Risk Charge CSR Sec CTP Delta Risk Position CSR Sec CTP Delta Risk Position Correlations CSR Sec CTP Delta Risk Position Double Sums CSR Sec CTP Delta Risk Weight CSR Sec CTP Delta Weighted Sensitivities CSR Sec CTP Delta Risk Weight CSR Sec CTP Delta Weighted Sensitivities
FRTB Accelerator Reference Guide v2.4.0