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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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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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----
CSR non-Sec
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Data Model (Core)
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Calculations
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------ ETL (Reference Implementation)
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------
Query Time (Core)
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Input Files (Reference Implementation)
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Cube Schema (Reference Implementation)
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Configuration (Core)
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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
Calculations
This section describes the data manipulation and calculations applied to the sensitivities from the input files.
First, the ETL (Extract, Transform, Load) layer will apply some transformations
as the data is loaded from the input files into the datastore .
Once the data is loaded into the datastore, it is available in the cube .
The sensitivities in the cube may be partially aggregated upon commit to the datastore for BITMAP and LEAF aggregate providers.
The remainder of the sensitivity aggregation is performed by ActivePivot at query time.
Then, also at query time, the post-processors calculate the capital charge from the aggregated sensitivities.