FX

Download PDF version of this chapter: FRTB_Impl_SBM_FX_5.0.pdf

This section describes how the SBM FX 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 FX 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 FX