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 - - SBM -- Commodity -- CSR non-Sec -- CSR Sec CTP -- CSR Sec non-CTP -- Equity -- FX -- GIRR --- Interpretation Note --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) --- Cube (Reference Implementation) --- Configuration (Core) GIRR Download PDF version of this chapter: FRTB_Impl_SBM_GIRR_3.0.pdf This section describes how the SBM GIRR Risk Class is implemented and how the BCBS 457 specification is interpreted. Miscellaneous Parameters Interpretation Note
FRTB Accelerator Reference Guide v3.0.0