Navigation :
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User & Reference Guide
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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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Tutorials
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- Data Health Check
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- Tips for Validating the Calculations
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- 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
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What-If Analysis
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Configuration files
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Data Cubes
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Data Stores
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Input File Formats
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Developer Guide
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Getting Started
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FRTB Reference Implementation
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FRTB Core
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Extending the Accelerator
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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
test ../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SBM
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----
Commodity
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----
CSR non-Sec
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----
CSR Sec CTP
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/equity/interpretation-note.html
----- Interpretation Note
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-----
Data Model (Core)
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-----
Calculations
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-----
Input Files (Reference Implementation)
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/config-files.html
-----
Config Files
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl.html
-----
Datastore (Reference Implementation)
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/trade-base.html
------ TradeBase
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/risk-factor-desc.html
------ RiskFactorDescription
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/underlying-desc.html
------ UnderlyingDescription
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/delta.html
------ Delta
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/equity-bucket-desc.html
------ EquityBucketDesc
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/vega.html
------ Vega
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/curv.html
------ Curvature
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/datastore-ref-impl/equity-buckets.html
------ EquityBuckets
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/cube-ref-impl.html
-----
Cube Schema (Reference Implementation)
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/equity/configuration-core.html
-----
Configuration (Core)
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
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Jurisdictions
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PDF Guides
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Glossary
Datastore (Reference Implementation)
This section describes how the SA datastore schema is used for the Equity risk class.
The schema starts with the TradeBase store, which is an index of all the facts in the SA Cube.
The TradeBase store has references to the risk-factor descriptions and sensitivities.
Risk Factor Descriptions
The risk-factor description starts with the RiskFactorDescription store,
which contains the description of risk-factor independent of the equity ,
and a reference to the UnderlyingDescription store for a description of the equity.
The UnderlyingDescription store references the EquityBucketDesc store for the bucket descriptions.
Sensitivities
The sensitivities stores contain the sensitivity values, they are referenced from the TradeBase store.