Interpretation and Implementation of the MAR standard

These pages describe how the FRTB Accelerator interprets and implements the calculation of RWA for market risk (MAR) standard in the Basel Framework 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 the MAR standard. For broader information, please see the relevant parts of the FRTB Accelerator documentation set:

• Input file formats
• Datastore
• Cube schemas
• Variations on the calculations, e.g. low- and high-correlation scenarios, Capital Allocation and Incremental measures.
• Booking and trade information