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 Risk Charge ---- CSR non-Sec Risk Charge ---- CSR Sec CTP Risk Charge ---- CSR Sec non-CTP Risk Charge ---- Equity Risk Charge ---- FX Risk Charge ---- GIRR Risk Charge ---- Medium Risk Charge ---- Portfolio Risk Charge ---- PortfolioRiskCharge.D2D ---- SBM Correlation Scenario ---- SBM Risk Charge --- Commodity --- Count --- CSR non-Sec --- CSR Sec CTP --- 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 Portfolio Risk Charge sbm Description Standardized capital charge as if all positions were under SA approach, includes SBM, DRC SA and RRAO Variations incremental pro_rata euler See also ACR CA CA-GA CU Capital Surcharge IMA-GA IMADRC RWA Residual Risk Add On SA-GA Medium Risk Charge PortfolioRiskCharge.D2D
FRTB Accelerator Reference Guide v2.4.0