Joins the dots between the data model, calculations, and configuration parameters to provide a detailed explanation of how the FRTB Accelerator
interprets and implements the BCBS 457 specification.
Walks you through the multi-jurisdiction support provided in the FRTB Accelerator - including the CRR2 parameter set, simultaneous BCBS and CRRS buckets, ERM II, and positive and negative delta sensitivities.
Equips you with tools to: validate that your input data is loaded correctly and that your calculations are in compliance with the Basel Framework, as well as view pre-defined Quantitative Impact Study risk metrics for your data.
Allows you to simulate the effects of changes in the Change book hierarchy, Desk reclassification (IMA/SA), Trade scaling, Datastore changes, and Parameter set changes (including correlation and risk weight).