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 ---- Curvature ----- Commodity Curvature CVR Down ----- Commodity Curvature CVR Up ----- Commodity Curvature Delta Sensitivities ----- Commodity Curvature Delta Weighted Sensitivities ----- Commodity Curvature Risk Charge ----- Commodity Curvature Risk Position ----- Commodity Curvature Risk Position Down ----- Commodity Curvature Risk Position Scenario ----- Commodity Curvature Risk Position Up ----- Commodity Curvature Risk Weight ----- Commodity Curvature Sb ----- Commodity Curvature shock-down prices ----- Commodity Curvature shock-up prices ----- Commodity Curvature Technical Curvature Delta Shift ---- Delta ---- Vega --- 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 Commodity Curvature Risk Position Scenario sbm Description Indicates which scenario - up or down - resulted in the worst loss for the curvature risk factor Variations high low Hierarchy(ies) required in the view [Buckets].[Commodity Buckets] Reference [MAR21.5] See also Commodity Curvature CVR Down Commodity Curvature CVR Up Commodity Curvature Delta Sensitivities Commodity Curvature Delta Weighted Sensitivities Commodity Curvature Risk Charge Commodity Curvature Risk Position Commodity Curvature Risk Position Down Commodity Curvature Risk Position Up Commodity Curvature Risk Weight Commodity Curvature Sb Commodity Curvature shock-down prices Commodity Curvature shock-up prices Commodity Curvature Risk Position Down Commodity Curvature Risk Position Up
FRTB Accelerator Reference Guide v3.0.0