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 PortfolioRiskCharge.D2D sbm Description Day-to-day change for a measure Portfolio Risk Charge SBM Correlation Scenario
FRTB Accelerator Reference Guide v2.4.0