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Getting started
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- Using this guide
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- What's New
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- FRTB Data Model
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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- Workaround for deadlock issue when attempting to create partitions for reference stores
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What-If Analysis
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Configuring Accelerator tools and methodologies
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FRTB Accelerator Interpretation and Implementation of BCBS 457
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ACR
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--
SA
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--- Key SA Measures
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---
SBM
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----
Commodity
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-----
Data Model (Core)
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------ Sensitivities
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------ Risk Factor [MAR10.9]
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------ Commodity
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Calculations
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Input Files (Reference Implementation)
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Config Files
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Datastore (Reference Implementation)
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Cube Schema (Reference Implementation)
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Configuration (Core)
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CSR non-Sec
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CSR Sec CTP
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CSR Sec non-CTP
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Equity
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FX
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GIRR
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--
IMA
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Jurisdictions
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PDF Guides
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Glossary
Risk Factor [MAR10.9]
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Commodity , Location , and tenor fields are used (as appropriate for the risk-measure).
This means that multiple Risk Factor Names may be used for the same risk-factor.
The Commodity (Underlying) refers to the “distinct commodity” [MAR21.83] (1) and [MAR21.84] .
Field
Key
Risk Measure
Description
As-of Date
Y
All
Timestamp (at close of business) for the data (T-1)
Risk Factor Name
Y
All
A name for the risk-factor (not including vertices)
Risk Class
Y
All
“Commodity”
Risk Measure
Y
All
“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor
Y
Delta
The time to maturity of the traded instrument (Delta)
Option Maturity
Y
Vega
The maturity of the option (Vega)
Commodity (Underlying)
All
The distinct commodity.
Location
All
Delivery location of the commodity.
For Vega and Curvature, the risk-factor is the same as the underlying.
Implementation notes (vectors of vertices):
The risk-factor name spans all tenors/maturities, so it represents
multiple [MAR10.9] risk-factors.
In the input files (default file format), multiple vertices and
sensitivities may either be provided on the same row or different
rows.
In the datastore, we use vectors to store the sensitivities for all
tenors.
In the cubes, we use analysis hierarchies to expand the vectors.