Imported
| Description |
|---|
Imported
Naming pattern: Measures with “Imported” behavior follow the name pattern: Main Measure Name (imported).
Imported is one of the optional approaches implemented in the FRTB Accelerator to allow you to import values to be included in the cube for reporting purposes via an optional file and its corresponding store.
Each imported value is identified by legal entity and measure name. Each value will be added to the capital charge calculations whenever the corresponding legal entity is included.
The imported values only impact a specific set of measures. These comprise measures with this suffix, those with the “(reported)” suffix and the following measures (which are the ones requested in the CRR2 reporting template):
- “risk-class risk-measure Risk Charge scenario”
- “risk-class Delta Sensitivities direction”
- “drc-risk-class Default Risk Charge”
- “drc-risk-class Gross JTD direction”
- “RRAO Exotic”
- “RRAO Other”
Where:
| Element | is one of … |
|---|---|
| risk-class | GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX |
| risk-measure | Delta, Vega, Curvature |
| scenario | blank (for medium correlation scenario), High, Low |
| direction | Long, Short |
| drc-risk-class | DRC non-Sec, DRC Sec non-CTP |
Additionally, the SA measures that follow on from the above list are also impacted, up to the “Portfolio Risk Charge”.
The Reported measure variation includes the impact of the netting sets and imported values. For example, “Portfolio Risk Charge (reported)”. The netting sets and imported values do not currently impact the unmodified measures; for example, “Portfolio Risk Charge” is not changed.
Overview of Imported Calculations
The imported values are identified by legal entity, parameter set, and measure name (and as-of date). The measure name must be one from the list above.
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The imported measures are not included when drilling down. For example, if a query filters on a desk or node from the booking hierarchy, then the imported measures will not be included.
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A configuration option allows you to specify for which hierarchies to ignore filters. For example, if you have added a “sensitivity-type” hierarchy and add that to the list to ignore, then the imported values will still be included even if a query filters by “sensitivity-type”.
Follow this link to see the measures with the described behavior: Imported Measures.