CSR Sec CTP

Download PDF version of this chapter: FRTB_Impl_SBM_CSR_Sec_CTP_4.1.pdf

This section describes how the SBM CSR Sec CTP Risk Class is implemented and how the BCBS 457 specification is interpreted.

Also covered here is the specialization of the data, calculations, and configuration for the CSR Sec CTP risk-class, including:

• The data model, which describes the data used for the calculations and how it is structured, and how the data model is represented in the:
  • input files
  • datastore
  • cube
• The calculations, both in the ETL and at query time
• The parameters used in the query time calculations
• How the accelerator is configured for CSR Sec CTP