Navigation :
test ../../../ test user-ref.html
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
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
test ../../../ test sign-off.html
Sign-Off Approvals
test ../../../ test cube.html
Data Cubes
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What-If Analysis
test ../../../ test datastore.html
Data Stores
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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
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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
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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/acr/ima/imcc-ses.html
---
IMCC and SES calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/imcc.html
---- IMCC calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/ses.html
---- SES calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/ca.html
---- CA calculations
test ../../../ test interpret-impl/acr/ima/key-measures-ima.html
--- Key IMA Measures
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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
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test ../../../ test pdf-guides.html
PDF Guides
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Glossary
IMCC and SES calculations
This section describes the IMCC and SES calculations in the FRTB accelerator, and how these calculations contribute to the CA . It assumes familiarity with the MAR 33 specification and of the inputs to the accelerator.
Cubes
The IMCC , SES , and CA (Spot) measures are found in InternalModelApproachCube, IMASummaryCube, and FRTBCombinedCube. These measures only look at a single as-of date.
The IMCCavg , SESavg , and CA measures require the long (60 day) history and are only found in FRTBCombinedCube.