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/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
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Jurisdictions
test ../../../../../ test interpret-impl/_footer.html
-
test ../../../../../ test pdf-guides.html
PDF Guides
test ../../../../../ test glossary.html
Glossary
Implementation Note
The data and calculations for the CSR Sec CTP risk class are specified
in [MAR21.58] –[MAR21.61] in relation to their differences
from CSR non-Sec.
In the FRTB Accelerator
, these two risk classes share a lot of
configuration and the CSR Sec CTP calculations will depend on the CSR
non-Sec configuration. For example, the configuration for
$\rho_{kl}^{(name)}$ and $\rho_{kl}^{(tenor)}$ are inherited from the CSR
non-Sec risk class and not specified separately for CSR Sec CTP.