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 - Dimensions Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 ACR ima Description The aggregate capital requirement for market risk Variations euler incremental spot IRT / non-IRT Reference [MAR33.43] Formula ACRtotal=min{IMAGA+CapitalSurcharge+CU;SAall desk}+max{0;IMAG,A−SAG,A} See also CA CA-GA CU Capital Surcharge IMA-GA IMADRC Portfolio Risk Charge RWA Residual Risk Add On SA-GA Getting started
FRTB Accelerator Reference Guide v3.0.0