Navigation :
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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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- DirectQuery
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Configuration files
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Data Stores
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Database
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Input Data
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Tutorials
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- Data Sanity Check
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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Interpretation and Implementation of the MAR standard
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-
ACR
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--
SA
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--- Key SA Measures
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---
SA DRC
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----
DRC non-Sec
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----
DRC Sec non-CTP
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-----
Data Model (Core)
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-----
Calculations
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------ ETL (Reference Implementation)
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------
Query Time (Core)
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-----
Configuration (Core)
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---
SA SBM
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--
IMA
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-
Jurisdictions
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-
FRTB P&L Attribution Tests and Backtesting
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-
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Analytics Reference
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Developer Guide
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Release and migration notes
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-
Getting Started
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-
FRTB Reference Implementation
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-
FRTB Core
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-
Extending the Accelerator
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-
Configuring Accelerator tools and methodologies
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-
Sign-Off
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Limit monitoring
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Sign-Off Approvals
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What-If Analysis
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PDF Guides
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Glossary
ETL (Reference Implementation)
The ETL (Extract, Transform, Load) layer provided with the FRTB Accelerator
,
using the default file format, will perform the following
transformations when data is loaded from the input files into the
datastore.
Risk Factor Name
If the risk-factor name is not included in the input file (using the
default file format), a name is generated as Tranche Name + Maturity.
Normalisation
In the default file format, each row of the DRC sensitivities' files
contains the JTD as well as a description of the risk factor and
tranche. The data normalisation splits this information across three
stores in the datastore, as described in the data model.