FRTB Accelerator Interpretation and Implementation of BCBS 457
These pages describe how the FRTB Accelerator
interprets and implements the BCBS 457 specification. Including:
The data model used in the FRTB Accelerator
The calculations (including measures and hierarchies)
Configuration parameters
How the model fits into the reference implementation (input files, datastore, cube)
The implementation (that is, the cube specification and file formats) of P&L Attribution Tests and Backtesting
Note
This document focuses on the data and analytics for BCBS 457. For broader information, please see the relevant parts of the FRTB Accelerator
documentation set: