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 Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity -- CSR non-Sec -- CSR Sec CTP -- CSR Sec non-CTP --- Interpretation Note --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) ---- SBM_Delta_Sensitivities*.csv ---- SBM_Vega_Sensitivities*.csv ---- SBM_Curvature_Sensitivities*.csv ---- CSR_Bucket_SECNONCTP*.csv ---- CSR_Bucket_Description_SECNONCTP*.csv --- Config Files --- Datastore (Reference Implementation) --- Cube (Reference Implementation) --- Configuration (Core) -- Equity -- FX -- GIRR Input Files (Reference Implementation) This section describes how the input files containing the sensitivities and mappings are used for the CSR Sec non-CTP risk class Curvature Risk Charge SBM_Delta_Sensitivities*.csv
FRTB Accelerator Reference Guide v2.4.0