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 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 interpret-impl/acr.html
-
ACR
test ../../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../../ test interpret-impl/acr/sa/key-measures-sa.html
--- Key SA Measures
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SBM
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/commodity.html
----
Commodity
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec.html
----
CSR non-Sec
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp.html
----
CSR Sec CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/implementation-note.html
----- Implementation Note
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/data-model-core.html
-----
Data Model (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations.html
-----
Calculations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/etl.html
------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-sensi.html
------- Delta/Vega Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-sensi-long-short.html
------- Delta Sensitivities Long/Short
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curvature-scenario-up-down-pv-ccy.html
------- Curvature Scenario Up/Down PV.CCY
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-curv-rw.html
------- Delta/Vega/Curvature Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-weighted-sensi.html
------- Delta/Vega Weighted Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-delta-sensi.html
------- Curvature Delta Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-shock-up-down.html
------- Curvature Shock Up/Down Prices
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-cvr-up-down.html
------- Curvature CVR Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-risk-position-double-sums.html
------- Delta/Vega Risk Position Double Sums
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-risk-position-corr.html
------- Delta/Vega Risk Position Correlations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-risk-position.html
------- Delta Vega Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-risk-position-up-down.html
------- Curvature Risk Position Up/Down
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-risk-position-scenario.html
------- Curvature Risk Position Scenario
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-risk-position.html
------- Curvature Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/delta-vega-risk-charge.html
------- Delta/Vega Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations/query-time-core/curv-risk-charge.html
------- Curvature Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/input-files-ref-impl.html
-----
Input Files (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/config-files.html
-----
Config Files
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl.html
-----
Datastore (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/cube-ref-impl.html
-----
Cube Schema (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/configuration-core.html
-----
Configuration (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp.html
----
CSR Sec non-CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/equity.html
----
Equity
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/fx.html
----
FX
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
GIRR
test ../../../../../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../../../../../ test interpret-impl/jurisdictions.html
-
Jurisdictions
test ../../../../../../../ test interpret-impl/_footer.html
-
test ../../../../../../../ test pdf-guides.html
PDF Guides
test ../../../../../../../ test glossary.html
Glossary
Curvature Risk Position Scenario
Within each Bucket , the Curvature Risk Position
Scenario Curvature Risk Position Up and
Curvature Risk Position Down values is the greater.