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
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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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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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Release and migration notes
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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
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---
SBM
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----
Commodity
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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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----- Interpretation Note
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-----
Data Model (Core)
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------ Sensitivities
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------ Risk Factor [MAR10.9]
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------ Curve
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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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--
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 Curve and the tenor fields are used.
This means that multiple Risk Factor Names may be used for the same risk-factor.
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
“GIRR”
Risk Measure
Y
All
“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor
Y
Delta
The time to maturity of the traded instrument
Option Maturity
Y
Vega
The maturity of the option
Underlying Maturity
Y
Vega
The residual maturity of the underlying
Curve Name (Underlying)
All
Name of the curve
For Curvature, there is only a single risk factor per bucket and the
Curve Name can be the currency/bucket.
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. For Vega, these vectors are storing a two-dimensional array
(indexed by both underlying and option maturities).
In the cubes, we use analysis hierarchies to expand the vectors.