CSR Sec non-CTP

Download PDF version of this chapter: FRTB_Impl_SBM_CSR_Sec_non-CTP_4.1.pdf

This section describes how the SBM CSR Sec non-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 non-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 non-CTP