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- 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
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Measures
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Dimensions
-- [Booking].[Books]
-- [Booking].[Categories]
-- [Booking].[Desks]
-- [Booking].[FRTB Model]
-- [Booking].[IRT Desk]
-- [Booking].[PLA Zone]
-- [Booking].[Trades]
-- [Buckets].[Commodity Buckets]
-- [Buckets].[CSR non-Sec Buckets]
-- [Buckets].[CSR Sec CTP Buckets]
-- [Buckets].[CSR Sec non-CTP Buckets]
-- [Buckets].[Equity Buckets]
-- [Buckets].[FX Buckets]
-- [Buckets].[GIRR Buckets]
-- [Currencies].[Currency]
-- [Dates].[Date]
-- [Dates].[TradeDates]
-- [Default Risk Charge].[DRC Direction]
-- [Default Risk Charge].[DRC Instrument LGD Type]
-- [Default Risk Charge].[DRC Maturity]
-- [Default Risk Charge].[DRC non-Sec Bucket]
-- [Default Risk Charge].[DRC non-Sec Rating]
-- [Default Risk Charge].[DRC Obligor]
-- [Default Risk Charge].[DRC Sec non-CTP Asset Class]
-- [Default Risk Charge].[DRC Sec non-CTP Attachment]
-- [Default Risk Charge].[DRC Sec non-CTP Bucket]
-- [Default Risk Charge].[DRC Sec non-CTP Detachment]
-- [Default Risk Charge].[DRC Sec non-CTP Rating]
-- [Default Risk Charge].[DRC Sec non-CTP Region]
-- [Default Risk Charge].[DRC Sec non-CTP Tranche]
-- [Default Risk Charge].[DRC Seniority]
-- [Double Sums].[Commodity Delta Double Sums]
-- [Double Sums].[Commodity Vega Double Sums]
-- [Double Sums].[CSR non-Sec Delta Double Sums]
-- [Double Sums].[CSR non-Sec Vega Double Sums]
-- [Double Sums].[CSR Sec CTP Delta Double Sums]
-- [Double Sums].[CSR Sec CTP Vega Double Sums]
-- [Double Sums].[CSR Sec non-CTP Delta Double Sums]
-- [Double Sums].[CSR Sec non-CTP Vega Double Sums]
-- [Double Sums].[Equity Delta Double Sums]
-- [Double Sums].[Equity Vega Double Sums]
-- [Double Sums].[FX Delta Double Sums]
-- [Double Sums].[FX Vega Double Sums]
-- [Double Sums].[GIRR Delta Double Sums]
-- [Double Sums].[GIRR Vega Double Sums]
-- [Epoch].[Epoch]
-- [Lookback].[Lookback]
-- [Market Data].[CSR non-Sec Rating Category]
-- [Market Data].[CSR non-Sec Sector Category]
-- [Market Data].[CSR Quality]
-- [Market Data].[CSR Rating]
-- [Market Data].[CSR Sec CTP Rating Category]
-- [Market Data].[CSR Sec CTP Sector Category]
-- [Market Data].[CSR Sec non-CTP Rating Category]
-- [Market Data].[CSR Sec non-CTP Sector Category]
-- [Market Data].[CSR Sector]
-- [Market Data].[Equity Issuer Economy]
-- [Market Data].[Equity Market Cap]
-- [Market Data].[Equity Sector]
-- [Market Data].[GIRR Currency]
-- [Market Data].[GIRR Curve Types]
-- [Market Data].[Underlying]
-- [Organization].[BookHierarchy]
-- [Organization].[Legal Entities]
-- [Organization].[LegalEntityHierarchy]
-- [Parameter Sets].[Parameter Set]
-- [Risk].[Commodity Location]
-- [Risk].[Currencies]
-- [Risk].[Data Sets]
-- [Risk].[DRC Scenarios]
-- [Risk].[FX Counter Currency]
-- [Risk].[Idiosyncratic]
-- [Risk].[Liquidity Horizons]
-- [Risk].[Maturities]
-- [Risk].[Model]
-- [Risk].[Residual Risk Add On]
-- [Risk].[Risk Classes]
-- [Risk].[Risk Factor Types]
-- [Risk].[Risk Factors]
-- [Risk].[Risk Measures]
-- [Risk].[Scenarios]
-- [Risk].[Vertices]
Input File Formats
Datastores
FRTB Accelerator Interpretation and Implementation of BCBS 457
[Double Sums].[CSR Sec non-CTP Delta Double Sums]
Description
The three levels of this hierarchy describe all the possible combinations for determining delta risk factor correlations for risk class CSR Sec non-CTP
Reference
[MAR21.68]
Dimension
Double Sums
Hierarchy
CSR Sec non-CTP Delta Double Sums
Levels
[ALL, Tranche, Tenor, Basis]
FRTB Accelerator Reference Guide v2.4.0