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 --- DRC --- Equity --- FX --- GIRR ---- Curvature ----- GIRR Curvature CVR Down ----- GIRR Curvature CVR Up ----- GIRR Curvature Delta Sensitivities ----- GIRR Curvature Delta Weighted Sensitivities ----- GIRR Curvature Risk Charge ----- GIRR Curvature Risk Position ----- GIRR Curvature Risk Position Down ----- GIRR Curvature Risk Position Scenario ----- GIRR Curvature Risk Position Up ----- GIRR Curvature Risk Weight ----- GIRR Curvature Sb ----- GIRR Curvature shock-down prices ----- GIRR Curvature shock-up prices ----- GIRR Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- 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 GIRR Curvature Risk Position Scenario sbm Description Indicates which scenario - up or down - resulted in the worst loss for a risk factor Variations high-low Hierarchy(ies) required in the view [Buckets].[GIRR Buckets] Reference [MAR21.5] See also GIRR Curvature CVR Down GIRR Curvature CVR Up GIRR Curvature Delta Sensitivities GIRR Curvature Delta Weighted Sensitivities GIRR Curvature Risk Charge GIRR Curvature Risk Position GIRR Curvature Risk Position Down GIRR Curvature Risk Position Up GIRR Curvature Risk Weight GIRR Curvature Sb GIRR Curvature shock-down prices GIRR Curvature shock-up prices GIRR Curvature Risk Position Down GIRR Curvature Risk Position Up
FRTB Accelerator Reference Guide v2.4.0