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 ---- Delta ----- CSR Sec non-CTP Delta Risk Charge ----- CSR Sec non-CTP Delta Risk Position ----- CSR Sec non-CTP Delta Risk Position Correlations ----- CSR Sec non-CTP Delta Risk Position Double Sums ----- CSR Sec non-CTP Delta Risk Weight ----- CSR Sec non-CTP Delta Sensitivities ----- CSR Sec non-CTP Delta Weighted Sensitivities ---- 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 Delta Sensitivities sbm Description The CSR Sec non-CTP delta Variations long short Reference [MAR21.21] Notation $s_k$ See also CSR Sec non-CTP Delta Risk Charge CSR Sec non-CTP Delta Risk Position CSR Sec non-CTP Delta Risk Position Correlations CSR Sec non-CTP Delta Risk Position Double Sums CSR Sec non-CTP Delta Risk Weight CSR Sec non-CTP Delta Weighted Sensitivities CSR Sec non-CTP Delta Risk Weight CSR Sec non-CTP Delta Weighted Sensitivities
FRTB Accelerator Reference Guide v2.4.0