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
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
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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
test ../../../../../ test dev.html
Developer Guide
test ../../../../../ test dev/dev-release.html
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Release and migration notes
test ../../../../../ test dev/dev-getting-started.html
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Getting Started
test ../../../../../ test dev/dev-ref-impl.html
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FRTB Reference Implementation
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FRTB Core
test ../../../../../ test dev/dev-extensions.html
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Extending the Accelerator
test ../../../../../ test dev/dev-tools.html
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Configuring Accelerator tools and methodologies
test ../../../../../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../../../../../ test interpret-impl/acr.html
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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
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
GIRR
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/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/girr/config-files.html
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Config Files
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/datastore-ref-impl.html
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Datastore (Reference Implementation)
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/cube-ref-impl.html
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Cube Schema (Reference Implementation)
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/girr/configuration-core.html
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Configuration (Core)
test ../../../../../ test interpret-impl/acr/ima.html
--
IMA
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Jurisdictions
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test ../../../../../ test pdf-guides.html
PDF Guides
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Glossary
Interpretation Note
The FAQ for [MAR21.8] specifies that inflation and cross-currency
bases should be considered for Vega risk factors, without an underlying
residual maturity dimension. However, [MAR21.93] and
[MAR21.94] do not specify the correlation parameter $\rho_{kl}$ when
one of the underlyings is an Inflation or Basis curve (and hence do not
have an underlying maturity).
In the FRTB Accelerator
, when one of the underlying curves is an
inflation or cross-currency basis curve, we use [MAR21.94] with
$\rho_{kl}^{(DELTA)}$ equal to 0% or 40% as determined by [MAR21.48] and [MAR21.49] .