Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-health-check.html
- Data Health Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test what-if.html
What-If Analysis
test ../ test configuration.html
Configuration files
test ../ test cube.html
Data Cubes
test ../ test cube/measures.html
-
Measures
test ../ test cube/measures/measure-variations.html
--
Measure variations
test ../ test cube/measures/standardisedapproach.html
--
StandardisedApproach
test ../ test cube/measures/standardisedapproach/aggregated-riskcharge-by-class.html
---
Aggregated RiskCharge by Class
test ../ test cube/measures/standardisedapproach/commodity.html
---
Commodity
test ../ test cube/count.html
--- Count
test ../ test cube/measures/standardisedapproach/csr-non-sec.html
---
CSR non-Sec
test ../ test cube/measures/standardisedapproach/csr-sec-ctp.html
---
CSR Sec CTP
test ../ test cube/measures/standardisedapproach/csr-sec-non-ctp.html
---
CSR Sec non-CTP
test ../ test cube/measures/standardisedapproach/drc.html
---
DRC
test ../ test cube/measures/standardisedapproach/equity.html
---
Equity
test ../ test cube/measures/standardisedapproach/fx.html
---
FX
test ../ test cube/measures/standardisedapproach/girr.html
---
GIRR
test ../ test cube/notional.html
--- Notional
test ../ test cube/notional-original-currency.html
--- Notional (Original Currency)
test ../ test cube/notional-original-currency-drc.html
--- Notional (Original Currency) DRC
test ../ test cube/notional-drc.html
--- Notional DRC
test ../ test cube/pv.html
--- PV
test ../ test cube/pv-drc.html
--- PV DRC
test ../ test cube/pv.ccy.html
--- PV.CCY
test ../ test cube/measures/standardisedapproach/rrao.html
---
RRAO
test ../ test cube/residual-risk-add-on.html
---- Residual Risk Add On
test ../ test cube/timestamp.html
--- Timestamp
test ../ test cube/dimensions.html
-
Dimensions
test ../ test datastore.html
Data Stores
test ../ test input-files.html
Input File Formats
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
Residual Risk Add On
Description
The Residual risk add-on, RRAO
Variations
Reference
[MAR23.8]
Formula
$$RRAO = Addon \cdot Gross Notional$$
Residual Risk Add On is computed for trades bearing residual risk as a percentage of gross notional.
Trades bearing residual risk can be filtered using hierarchy [Risk].[Risk Classes] value “RRAO”.
Please note, that this measure disregards the actual capital treatment of individual positions and computes charges as if all positions are under SA. We recommend applying a filter on [Booking].[FRTB Model] equal to “SA” to limit the scope to positions officially under the “SA” approach.
See also