Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-health-check.html
- Data Health Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- 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
test ../ test configuration.html
Configuration files
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Sign-Off Approvals
test ../ test cube.html
Data Cubes
test ../ test what-if.html
What-If Analysis
test ../ test datastore.html
Data Stores
test ../ test input-files.html
Input Files
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
test ../ test dev/dev-core.html
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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 dev/dev-sign-off.html
-
Sign-Off
test ../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../ test interpret-impl/acr.html
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ACR
test ../ test interpret-impl/acr/sa.html
--
SA
test ../ test interpret-impl/acr/ima.html
--
IMA
test ../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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FRTB P&L Attribution Tests and Backtesting
test ../ test interpret-impl/_footer.html
-
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PDF Guides
test ../ test glossary.html
Glossary
ACR
Aggregate capital requirement (ACR) for market risk is the overarching
capital measure combining the results of SA and IMA calculations.
$ACR_{total}$
is specified in [[MAR33.43]]
as:
$min\left \{ IMA_{GA}+ CapitalSurcharge + C_U; SA_{all\text{
}desk}\right \} + max\left \{ 0;IMA_{G,A}-SA_{G,A} \right \}$
Where:
Aggregate capital requirement for approved desks and eligible
trading desks
$IMA_{GA} = C_A + DRC$
Standardised approach capital requirement for trading desks that are
either out-of-scope for model approval or that have been deemed
ineligible to use the internal models approach
$C_U = SBM + RRAO + DRC_{SA}$
If at least one eligible trading desk is in the PLA test amber zone,
a capital surcharge is added
$Capital\ surcharge=k \cdot max\left \{ 0,
SA_{G,A}-IMA_{G,A}\right \}$
These calculations are implemented as measures in the Accelerator and
can be analyzed in parallel in a consistent combined view. Full
reconciliation is possible, as every step of the calculation is
represented by a measure that can be visualised in a pivot table (or
tabular view) of the cube.
ACR Spot (Spot version of ACR)
ACR ignoring the historical averages.
For details of the measures, see the following: