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 --- CSR Sec non-CTP ---- Curvature ----- CSR Sec non-CTP Curvature CVR Down ----- CSR Sec non-CTP Curvature CVR Up ----- CSR Sec non-CTP Curvature Delta Sensitivities ----- CSR Sec non-CTP Curvature Delta Weighted Sensitivities ----- CSR Sec non-CTP Curvature Risk Charge ----- CSR Sec non-CTP Curvature Risk Position ----- CSR Sec non-CTP Curvature Risk Position Down ----- CSR Sec non-CTP Curvature Risk Position Scenario ----- CSR Sec non-CTP Curvature Risk Position Up ----- CSR Sec non-CTP Curvature Risk Weight ----- CSR Sec non-CTP Curvature Sb ----- CSR Sec non-CTP Curvature shock-down prices ----- CSR Sec non-CTP Curvature shock-up prices ----- CSR Sec non-CTP Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- 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 non-CTP Curvature shock-up prices sbm Description the valuation impact of the upward scenario Reference [MAR21.5] Notation $V_i \left (x_k^{(RW^{(curvature)}+)} \right )- V_i(x_k)$ See also CSR Sec non-CTP Curvature CVR Down CSR Sec non-CTP Curvature CVR Up CSR Sec non-CTP Curvature Delta Sensitivities CSR Sec non-CTP Curvature Delta Weighted Sensitivities CSR Sec non-CTP Curvature Risk Charge CSR Sec non-CTP Curvature Risk Position CSR Sec non-CTP Curvature Risk Position Down CSR Sec non-CTP Curvature Risk Position Scenario CSR Sec non-CTP Curvature Risk Position Up CSR Sec non-CTP Curvature Risk Weight CSR Sec non-CTP Curvature Sb CSR Sec non-CTP Curvature shock-down prices CSR Sec non-CTP Curvature shock-down prices CSR Sec non-CTP Curvature Technical Curvature Delta Shift
FRTB Accelerator Reference Guide v2.4.0