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 CA-GA ima Description The aggregate (non-DRC) capital requirement for the approved desks (Green and Amber PLA Zones) Variations euler incremental spot Reference [MAR33.41] Notation CA Formula CA=max{IMCCt−1+SESt−1;mc⋅IMCCavg+SESavg} See also ACR CA 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