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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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Configuration files
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Sign-Off Approvals
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Data Cubes
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What-If Analysis
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Data Stores
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Input Files
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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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Sign-Off
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FRTB Accelerator Interpretation and Implementation of BCBS 457
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PDF Guides
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Glossary
IMASummary
Store Field
Key
CanBeNull
Type
Cube Field
Description
DataSet
Y
String
Risk.Data Set
The data set to which the entry belongs. The following different values are possible:“Full Set Current”: data for the last 12 months “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months For non-modellable trades, this value should be blank.
Book
Y
String
Booking.Book
Book
LegalEntity
Y
String
Organization.Legal Entity
Legal Entity
RiskFactor
Y
String
[Risk].[RiskFactor]
Modellable Trades: The (modellable) Risk Factor (optional). If RiskFactor is not present, the P&L vector is expected to represent all risk factors for the liquidity horizon. Non-Modellable Trades: The (non-modellable) Risk Factor
RiskClass
Y
String
Risk.RiskClass
The risk class, which will be one of the following:GIRR CSR Equity Commodity FX allin For non-modellable, non-idiosyncratic trades, this value should be blank.
LiquidityHorizon
Y
Int
Risk.Liquidity Horizon
The Liquidity Horizon in days: 10, 20, 40, 60 or 120 Note: For non-modellable trades, this value should be blank. To ensure correct results, if a particular Liquidity Horizon is specified, then all lower Liquidity Horizons must also be included. So, for example, for Trade Id and Risk Class, if 40 is available, then 20 and 10 must be available as well.
Currency
Y
String
Risk.Currency
The currency in which the PnL vector is expressed.
PnL
Double[]
This field is a measure.
The PnL vector for 12 months’ worth of data. There is one value per day, which needs to be computed for a liquidity horizon of 10 days in the risk engine. The values are separated by semi-colons.
AsOfDate
Y
LOCALDATE[yyyy-mm-dd]
N - See field in referencing store (IMATrades )
Timestamp (at close of business) for the data.