This page details the adjustment types available in the FRTB
Accelerator, together with details of the execution workflow.
Adjustment types
Multiple adjustment types are available out of the box in the FRTB Accelerator.
Cube
Metric
Adjustment type
Description
Input value type
Base value type
StandardisedApproachCube
Default Risk Charge
Add-one
Add-on value. Results in a single new row per adjustment.
Scalar value
Scalar
StandardisedApproachCube
Default Risk Charge
Scaling
Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.
Scalar value
Scalar
StandardisedApproachCube
Default Risk Charge
Override
Override of the base value. Results in two rows, for the inversion of the base value and the new value.
Scalar value
Scalar
InternalModelApproachCube
IMCC
Scaling
Scaling of the base value. Results in two rows, for the inversion of the base value and the scaled new value.
Date
Vector
Execution details
Functional workflow
Executing an adjustment should conform to the following steps:
Step
Details
Retrieve supported adjustments from the appropriate REST endpoint
The adjustment requests need to conform to the specification returned by the supported adjustments service, but once the requests are created, this step isn’t necessary.
Initiate the sign-off task
The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘INITIATED’.
Request adjustment.
Adjustment requests will be executed asynchronously on the sign-off snapshot. There is no limit to the number of adjustments that can be requested for a snapshot.
Approve the sign-off task
The status of of the sign-off process for the filters defined in the association sign-off task is set to ‘APPROVED’.
Retrieve the status of an adjustment execution
As adjustments are executed asynchronously, a service is provided for retrieving the status of a given adjustment execution. Any errors in the execution of an adjustment will result in a FAILED status being returned by the status service.