• Business Solutions
  • Atoti FRTB v5.1
  • ☰
  • User & Reference Guide
  • Developer Guide
    • User & Reference Guide
    • Getting started
      • Using this guide
      • What's New
      • FRTB Data Model
      • DirectQuery
    • Configuration files
      • Startup properties
      • Calendars
      • Commodity_BucketRiskWeights
      • Commodity_IntraBucketCorrelations
      • CSR non-Sec Buckets
      • CSR non-Sec High Ratings
      • CSR Sec CTP Buckets
      • CSR Sec non-CTP Buckets
      • CSR_BucketsRiskWeights_NONSEC
      • CSR_BucketsRiskWeights_SECCTP
      • CSR_BucketsRiskWeights_SECNONCTP
      • CSRNS_Bucket_Correlations
      • Default_Risk_Weights
      • EQTY_BucketsRiskWeights
      • ERBA_Risk_Weight
      • frtb-config.properties
      • frtb-data-load.properties
      • FRTBParameters
      • FX Risk-Weight Overrides
      • FX_Special_Crosses
      • GIRR Correlation Overrides
      • GIRR_Delta_Weightings
      • GIRR_Major_Currency
      • hibernate.properties
      • Instrument_LGD
      • LiquidityHorizons
      • Multiplier
      • Obligor_Risk_Weights
      • Option_Residual_Maturity_Vertices
      • ParameterSet
      • Sensitivity Scaling
      • signoff.export.properties
      • signoff.properties
      • user-detail
      • Vega_Liquidity_Horizons
      • Vertices
    • Data Stores
      • Global Datastore Definition
        • BookDeskMapping
        • BookHierarchy
        • BookParentChild
        • Categories
        • CategoriesSource
        • DeskDescription
        • FXRates
        • LegalEntityAttributes
        • LegalEntityHierarchy
        • LegalEntityParentChild
        • TradeMapping
      • Internal Models Approach Datastore Definition
        • DRCIMABase
        • DRCIMASummaryBase
        • DRCScenarios
        • FXRates
        • IMARiskFactors
        • IMATrades
        • PLScenarios
        • PLSummaryScenarios
        • PLTrades
        • Scenarios
      • Parameter Set Datastore Definition
        • Calendar
        • CommodityBucketRiskWeights
        • CommodityIntraBucketCorrelations
        • CSRBucketCorrelations
        • CSRBucketsRiskWeight
        • CSRNonSecHighRatings
        • DRCWeight
        • EquityBucketsRiskWeight
        • ERBARiskWeight
        • FRTBParameters
        • FXDeltaSpecialCrosses
        • FXRiskWeightOverrides
        • GIRRCorrelationOverrides
        • GIRRDeltaWeighting
        • GIRRMajorCurrency
        • IMAMultiplier
        • InstrumentToLGD
        • LiquidityHorizons
        • ObligorToRiskWeight
        • OptionResidualMaturityVertices
        • ParameterSet
        • SensitivityScaling
        • VegaRiskWeights
        • Vertices
      • Standardised Approach Datastore Definition
        • CommodityBuckets
        • CSRBucketDesc
        • CSRNonSecBucket
        • CSRSecCTPBucket
        • CSRSecNonCTPBucket
        • DrcSecNonCtpBuckets
        • EquityBucketDesc
        • EquityBuckets
        • LegalEntityImports
        • Obligor
        • ObligorOverrides
        • RiskFactorDescription
        • RiskFactorDescriptionOverrides
        • RRAO
        • RRAOOverrides
        • SaSensitivities
        • SATradeDescription
        • Security
        • Tranche
        • TrancheOverrides
        • UnderlyingDescription
        • UnderlyingDescriptionOverrides
      • Stress Calibration Datastore Definition
        • StressCalibrationDataSet
        • StressCalibrationScenarios
        • StressCalibrationTrades
        • StressCalibrationTradesPL
    • Database
      • Global Database Definition
        • BOOK_DESK_MAPPING
        • BOOK_HIERARCHY
        • DESK_DESCRIPTION
        • FXRATES
        • LEGAL_ENTITY_ATTRIBUTES
        • LEGAL_ENTITY_HIERARCHY
        • TRADE_MAPPING
      • Standardised Approach Database Definition
        • CSRBUCKET_DESC
        • EQUITY_BUCKET_DESC
        • OBLIGOR
        • Overrides
          • OBLIGOR_OVERRIDES
          • RISK_FACTOR_DESCRIPTION_OVERRIDES
          • RRAOOVERRIDES
          • TRANCHE_OVERRIDES
          • UNDERLYING_DESCRIPTION_OVERRIDES
        • RISK_FACTOR_DESCRIPTION
        • RRAO
        • SASENSITIVITIES
        • SATRADE_DESCRIPTION
        • SECURITY
        • SENIORITY_DESCRIPTION
        • TRANCHE
        • UNDERLYING_DESCRIPTION
    • Input Data
      • Core Configuration Files
      • CRIF Files
      • Reference and Booking Files
        • Book Desk Mapping
        • Book Parent Child v1
        • Book Parent Child v2
        • Categories
        • Desk Description
        • FX Rates
        • Legal Entity Attributes
        • Legal Entity Parent Child
        • Trade Attributes
      • SA Input File Formats
        • Bucket Files
          • Commodity Buckets
          • CSR non-Sec Bucket Descriptions
          • CSR Sec CTP Bucket Descriptions
          • CSR Sec non-CTP Bucket Descriptions
          • Equity Bucket Descriptions
          • Equity Buckets
        • DRC Trade Level Files
          • DRC Buckets
          • DRC Seniority Description
          • DRC Trade Level (SA)
        • Overrides
          • Legal Entity Imports
          • Obligor Overrides
          • Risk-Factor Description Overrides
          • RRAO Overrides
          • Tranche Overrides
          • Underlying Description Overrides
        • SBM Sensitivity-specific Files
          • Curvature
          • Delta
          • Vega
      • IMA Input Files
        • Capital Charge Calculation Input Files
          • DRC Input Files
            • DRC Non Linear Recovery Trade
            • DRC Scenario Count
            • DRC Scenarios
            • DRC Summary (IMA)
            • DRC Trade Level (IMA)
          • IMCC and SES Input Files
            • Expected Shortfall PL Trade
            • IMA ES Scenario FX Rates
            • IMA PL Scenarios
            • IMA Summary
            • Multiplier
            • Risk Factors
        • P&L Attribution Tests and Backtesting File Formats
          • PL Summary
          • PL Summary Scenarios
          • PL VaR Scenario
          • PL VaR Vector
      • Stress Calibration Input Files
        • Stress Calibration PL Trades
        • Stress Calibration Scenarios
    • Tutorials
      • Data Sanity Check
      • Tips for Validating the Calculations
      • Viewing QIS Numbers
    • Interpretation and Implementation of the MAR standard
      • ACR
        • SA
          • Key SA Measures
          • SA DRC
            • DRC non-Sec
              • Interpretation Note
              • Data Model (Core)
                • JTD Exposure
                • Risk Factor
                • Obligor
                • Field Mappings
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Gross JTD
                  • Scaled Gross JTD
                  • Net JTD
                  • HBR
                  • Risk Weight
                  • Weighted Net JTD
                  • Default Risk Charge
              • Configuration (Core)
                • DRC Seniority
                • Rating Risk Weights
                • Miscellaneous Parameters
            • DRC Sec non-CTP
              • Data Model (Core)
                • JTD Exposure
                • Risk Factor
                • Tranche
                • Field Mappings
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Gross JTD
                  • Scaled Gross JTD
                  • Net JTD
                  • HBR
                  • Risk Weight
                  • Weighted Net JTD
                  • Default Risk Charge
              • Configuration (Core)
                • SEC-ERBA risk weights
                • Miscellaneous Parameters
          • SA SBM
            • Commodity
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
                • Commodity
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • Vega
                • Curvature
                • CommodityBuckets
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Bucket Risk Weights
                • Intra-Bucket Correlations
                • Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
            • CSR non-Sec
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
                • Curve
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta/Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Config Files
                • frtb-config.properties
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • Vega
                • Curvature
                • CSRNonSecBucket
                • CSRBucketDesc
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Bucket Risk Weights
                • Inter-Bucket Correlations
                • Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
            • CSR Sec CTP
              • Implementation Note
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
                • Underlying
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Config Files
                • frtb-config.properties
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • Vega
                • Curvature
                • CSRSecCTPBucket
                • CSRBucketDesc
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Bucket Risk Weights
                • Inter-Bucket Correlations
                • Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
            • CSR Sec non-CTP
              • Interpretation Note
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
                • Tranche
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Config Files
                • frtb-config.properties
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • Vega
                • Curvature
                • CSRSecNonCTPBucket
                • CSRBucketDesc
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Bucket Risk Weights
                • Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
            • Equity
              • Interpretation Note
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
                • Equity
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Config Files
                • frtb-config.properties
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • EquityBucketDesc
                • Vega
                • Curvature
                • EquityBuckets
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Bucket Risk Weights
                • Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
            • FX
              • Implementation Note
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Config Files
                • frtb-config.properties
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • Vega
                • Curvature
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Delta Special Crosses
                • Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
            • GIRR
              • Interpretation Note
              • Data Model (Core)
                • Sensitivities
                • Risk Factor [MAR10.9]
                • Curve
              • Calculations
                • ETL (Reference Implementation)
                • Query Time (Core)
                  • Delta/Vega Sensitivities
                  • Delta Sensitivities Long/Short
                  • Curvature Scenario Up/Down PV.CCY
                  • Delta/Vega/Curvature Risk Weight
                  • Delta/Vega Weighted Sensitivities
                  • Curvature Delta Sensitivities
                  • Curvature Shock Up/Down Prices
                  • Curvature CVR Up/Down
                  • Delta/Vega Risk Position Double Sums
                  • Delta/Vega Risk Position Correlations
                  • Delta Vega Risk Position
                  • Curvature Risk Position Up/Down
                  • Curvature Risk Position Scenario
                  • Curvature Risk Position
                  • Delta/Vega Risk Charge
                  • Curvature Risk Charge
              • Input Files (Reference Implementation)
                • SBM_Delta_Sensitivities*.csv
                • SBM_Vega_Sensitivities*.csv
                • SBM_Curvature_Sensitivities*.csv
              • Config Files
                • frtb-config.properties
              • Datastore (Reference Implementation)
                • TradeBase
                • RiskFactorDescription
                • UnderlyingDescription
                • Delta
                • Vega
                • Curvature
              • Cube Schema (Reference Implementation)
              • Configuration (Core)
                • Tenor Risk Weights
                • Major Currencies
                • Vertices
                • Underlying Residual Maturity Vertices
                • Vega Liquidity Horizons
                • Miscellaneous Parameters
        • IMA
          • IMCC and SES calculations
            • IMCC calculations
            • SES calculations
            • CA calculations
            • IMA ES FX Conversions
          • Key IMA Measures
      • Jurisdictions
        • Parameter Sets
        • CRR2 support
        • CRR3 support
      • FRTB P&L Attribution Tests and Backtesting
        • Cubes
          • PL Cube
            • Input files
              • PL_VaR_Vector*.csv
              • PL_VaR_Scenario*.csv
              • Shared files
            • Hierarchies
          • PL Summary Cube
            • Input files
              • PL_Summary*.csv
            • Hierarchies
        • Measures
        • FRTBCombinedCube Context Values
    • Analytics Reference
      • Measures
        • Measure variations
          • Euler
          • High-Low
          • Imported
          • Incremental
          • Long-Short
          • Netted
          • Pro_rata
          • Rank
          • Reported
          • Spot
        • ACR
          • ACR
          • CA-GA
          • Capital Surcharge
          • CU
          • IMA-GA
          • IMADRC
          • Lookback
            • ES (Model Variation) avg
            • ES (Model Variation) Lookback
            • IMADRC Lookback
            • IMADRCavg
            • IMCC Lookback
            • IMCCavg
            • SES Lookback
            • SESavg
          • RWA
          • SA-GA
        • FRTBCombined
          • PL
            • Actual PL Lookback
            • Actual PL Lookback Rank
            • Exception 97.5 (Actual) Lookback
            • Exception 97.5 (Hypothetical) Lookback
            • Exception 99 (Actual) Lookback
            • Exception 99 (Hypothetical) Lookback
            • Hypothetical PL Lookback
            • Hypothetical PL Lookback Rank
            • Kolmogorov-Smirnov Test Metric
            • Kolmogorov-Smirnov Test p-value
            • Lookback Index
            • Mean Ratio
            • Mean Unexplained PL
            • p-value (Actual) Lookback
            • p-value (Actual) Lookback Rank
            • p-value (Hypothetical) Lookback
            • p-value (Hypothetical) Lookback Rank
            • Spearman Correlation Metric
            • Spearman Correlation Metric Denominator
            • Spearman Correlation Metric Numerator
            • Std Dev Hypothetical PL
            • Std Dev Hypothetical PL Lookback Rank
            • Std Dev Theoretical PL Lookback Rank
            • Theoretical PL Lookback
            • Theoretical PL Lookback Rank
            • Unexplained PL Lookback
            • Variance Hypothetical PL
            • Variance Ratio
            • Variance Unexplained PL
          • VaR
            • Exception 97.5 (Actual) Count
            • Exception 97.5 (Actual) Dates
            • Exception 97.5 (Hypothetical) Count
            • Exception 97.5 (Hypothetical) Dates
            • Exception 97.5 Count
            • Exception 99 (Actual) Count
            • Exception 99 (Actual) Dates
            • Exception 99 (Actual) Dates
            • Exception 99 (Actual) Dates
            • Exception 99 (Hypothetical) Count
            • Exception 99 (Hypothetical) Dates
            • Exception 99 Count
            • Outlier 97.5 Count
            • Outlier 99 Count
        • IMADRC
          • PL
            • DRC - IMA
            • DRC PnL Expand
            • DRC Scenario Rank
        • InternalModelApproach
          • ES
            • CA
            • ES (Basic Non-Modellable Idiosyncratic)
            • ES (Basic Non-Modellable Non-Idiosyncratic)
            • ES (Basic)
            • ES (Basic).D2D
            • ES (Capital Constrained)
            • ES (Capital Unconstrained)
            • ES (Capital)
            • ES (Current Ratio)
            • ES (ISES)
            • ES (Liquidity Adj.)
            • ES (Model Variation)
            • ES (SES)
            • ES Scenario Rank
            • IMCC
            • IMCC.D2D
            • Omega
            • PnL Expand
            • SES
            • Squared ES (Liquidity Adj.)
            • Squared LHScaleFactor
          • Technical
            • ES (PnL Vector)
            • ES (PnL Vector) CCY
            • ES (PnL Vector) Modellable CCY
            • ES (PnL Vector) Non-Modellable Idiosyncratic CCY
            • ES (PnL Vector) Non-Modellable Non-Idiosyncratic CCY
            • LH
            • Previous LH
        • PL
          • PL
            • Actual PL
            • Hypothetical PL
            • PL Scenario Rank
            • Theoretical PL
            • Unexplained PL
          • VaR
            • ES 97.5
            • ES 99
            • Exception 97.5 (Actual)
            • Exception 97.5 (Hypothetical)
            • Exception 99 (Actual)
            • Exception 99 (Hypothetical)
            • Outlier 97.5
            • Outlier 99
            • p-value (Actual)
            • p-value (Hypothetical)
            • VaR 97.5
            • VaR 97.5 (previous day)
            • VaR 99
            • VaR 99 (previous day)
            • VaR PL
            • VaR PL Expand
        • StandardisedApproach
          • Aggregated RiskCharge by Class
            • Commodity Risk Charge
            • Coverage Ratio
            • CSR non-Sec Risk Charge
            • CSR Sec CTP Risk Charge
            • CSR Sec non-CTP Risk Charge
            • Equity Risk Charge
            • FX Risk Charge
            • GIRR Risk Charge
            • Medium Risk Charge
            • Portfolio Risk Charge
            • PortfolioRiskCharge.D2D
            • SA
            • SBM Correlation Scenario
            • SBM Risk Charge
            • SBM Risk Charge (reference scenario)
          • Commodity
            • Curvature
              • Commodity Curvature CVR Down
              • Commodity Curvature CVR Up
              • Commodity Curvature Delta Sensitivities
              • Commodity Curvature Delta Weighted Sensitivities
              • Commodity Curvature Risk Charge
              • Commodity Curvature Risk Position
              • Commodity Curvature Risk Position Down
              • Commodity Curvature Risk Position Scenario
              • Commodity Curvature Risk Position Up
              • Commodity Curvature Risk Weight
              • Commodity Curvature Sb
              • Commodity Curvature shock-down prices
              • Commodity Curvature shock-up prices
            • Delta
              • Commodity Delta Risk Charge
              • Commodity Delta Risk Position
              • Commodity Delta Risk Position Correlations
              • Commodity Delta Risk Position Double Sums
              • Commodity Delta Risk Weight
              • Commodity Delta Sensitivities
              • Commodity Delta Weighted Sensitivities
            • Vega
              • Commodity Vega Risk Charge
              • Commodity Vega Risk Position
              • Commodity Vega Risk Position Correlations
              • Commodity Vega Risk Position Double Sums
              • Commodity Vega Risk Weight
              • Commodity Vega Sensitivities
              • Commodity Vega Weighted Sensitivities
          • Count
          • CSR non-Sec
            • Curvature
              • CSR non-Sec Curvature CVR Down
              • CSR non-Sec Curvature CVR Up
              • CSR non-Sec Curvature Delta Sensitivities
              • CSR non-Sec Curvature Delta Weighted Sensitivities
              • CSR non-Sec Curvature Risk Charge
              • CSR non-Sec Curvature Risk Position
              • CSR non-Sec Curvature Risk Position Down
              • CSR non-Sec Curvature Risk Position Scenario
              • CSR non-Sec Curvature Risk Position Up
              • CSR non-Sec Curvature Risk Weight
              • CSR non-Sec Curvature Sb
              • CSR non-Sec Curvature shock-down prices
              • CSR non-Sec Curvature shock-up prices
            • Delta
              • CSR non-Sec Delta Risk Charge
              • CSR non-Sec Delta Risk Position
              • CSR non-Sec Delta Risk Position Correlations
              • CSR non-Sec Delta Risk Position Double Sums
              • CSR non-Sec Delta Risk Weight
              • CSR non-Sec Delta Sensitivities
              • CSR non-Sec Delta Weighted Sensitivities
            • Vega
              • CSR non-Sec Vega Risk Charge
              • CSR non-Sec Vega Risk Position
              • CSR non-Sec Vega Risk Position Correlations
              • CSR non-Sec Vega Risk Position Double Sums
              • CSR non-Sec Vega Risk Weight
              • CSR non-Sec Vega Sensitivities
              • CSR non-Sec Vega Weighted Sensitivities
          • CSR Sec CTP
            • Curvature
              • CSR Sec CTP Curvature CVR Down
              • CSR Sec CTP Curvature CVR Up
              • CSR Sec CTP Curvature Delta Sensitivities
              • CSR Sec CTP Curvature Delta Weighted Sensitivities
              • CSR Sec CTP Curvature Risk Charge
              • CSR Sec CTP Curvature Risk Position
              • CSR Sec CTP Curvature Risk Position Down
              • CSR Sec CTP Curvature Risk Position Scenario
              • CSR Sec CTP Curvature Risk Position Up
              • CSR Sec CTP Curvature Risk Weight
              • CSR Sec CTP Curvature Sb
              • CSR Sec CTP Curvature shock-down prices
              • CSR Sec CTP Curvature shock-up prices
            • Delta
              • CSR Sec CTP Delta Risk Charge
              • CSR Sec CTP Delta Risk Position
              • CSR Sec CTP Delta Risk Position Correlations
              • CSR Sec CTP Delta Risk Position Double Sums
              • CSR Sec CTP Delta Risk Weight
              • CSR Sec CTP Delta Sensitivities
              • CSR Sec CTP Delta Weighted Sensitivities
            • Vega
              • CSR Sec CTP Vega Risk Charge
              • CSR Sec CTP Vega Risk Position
              • CSR Sec CTP Vega Risk Position Correlations
              • CSR Sec CTP Vega Risk Position Double Sums
              • CSR Sec CTP Vega Risk Weight
              • CSR Sec CTP Vega Sensitivities
              • CSR Sec CTP Vega Weighted Sensitivities
          • CSR Sec non-CTP
            • Curvature
              • CSR Sec non-CTP Curvature CVR Down
              • CSR Sec non-CTP Curvature CVR Up
              • CSR Sec non-CTP Curvature Delta Sensitivities
              • CSR Sec non-CTP Curvature Delta Weighted Sensitivities
              • CSR Sec non-CTP Curvature Risk Charge
              • CSR Sec non-CTP Curvature Risk Position
              • CSR Sec non-CTP Curvature Risk Position Down
              • CSR Sec non-CTP Curvature Risk Position Scenario
              • CSR Sec non-CTP Curvature Risk Position Up
              • CSR Sec non-CTP Curvature Risk Weight
              • CSR Sec non-CTP Curvature Sb
              • CSR Sec non-CTP Curvature shock-down prices
              • CSR Sec non-CTP Curvature shock-up prices
            • Delta
              • CSR Sec non-CTP Delta Risk Charge
              • CSR Sec non-CTP Delta Risk Position
              • CSR Sec non-CTP Delta Risk Position Correlations
              • CSR Sec non-CTP Delta Risk Position Double Sums
              • CSR Sec non-CTP Delta Risk Weight
              • CSR Sec non-CTP Delta Sensitivities
              • CSR Sec non-CTP Delta Weighted Sensitivities
            • Vega
              • CSR Sec non-CTP Vega Risk Charge
              • CSR Sec non-CTP Vega Risk Position
              • CSR Sec non-CTP Vega Risk Position Correlations
              • CSR Sec non-CTP Vega Risk Position Double Sums
              • CSR Sec non-CTP Vega Risk Weight
              • CSR Sec non-CTP Vega Sensitivities
              • CSR Sec non-CTP Vega Weighted Sensitivities
          • DRC
            • Default Risk Charge
            • DRC Adjustment
            • DRC non-Sec Default Risk Charge
            • DRC non-Sec Gross JTD
            • DRC non-Sec JTD Weightings
            • DRC non-Sec JTD Weightings Override
            • DRC non-Sec LGD
            • DRC non-Sec Net JTD Long
            • DRC non-Sec Net JTD Short
            • DRC non-Sec Scaled Gross JTD
            • DRC non-Sec Weighted Net JTD Long
            • DRC non-Sec Weighted Net JTD Short
            • DRC non-Sec WtS Ratio
            • DRC Sec CTP Default Risk Charge
            • DRC Sec CTP Default Risk Charge Aggregated
            • DRC Sec CTP Default Risk Charge Bucket
            • DRC Sec CTP Gross JTD
            • DRC Sec CTP HBR
            • DRC Sec CTP HBR Top
            • DRC Sec CTP Net JTD Long
            • DRC Sec CTP Net JTD Short
            • DRC Sec CTP Scaled Gross JTD
            • DRC Sec CTP Weighted Net JTD Long
            • DRC Sec CTP Weighted Net JTD Short
            • DRC Sec non-CTP Default Risk Charge
            • DRC Sec non-CTP Gross JTD
            • DRC Sec non-CTP JTD Weightings
            • DRC Sec non-CTP JTD Weightings Override
            • DRC Sec non-CTP Net JTD Long
            • DRC Sec non-CTP Net JTD Short
            • DRC Sec non-CTP Scaled Gross JTD
            • DRC Sec non-CTP Weighted Net JTD Long
            • DRC Sec non-CTP Weighted Net JTD Short
            • DRC Sec non-CTP WtS Ratio
            • Maturity Scaling Factor
            • PV.CCY DRC
          • Equity
            • Curvature
              • Equity Curvature CVR Down
              • Equity Curvature CVR Up
              • Equity Curvature Delta Sensitivities
              • Equity Curvature Delta Weighted Sensitivities
              • Equity Curvature Risk Charge
              • Equity Curvature Risk Position
              • Equity Curvature Risk Position Down
              • Equity Curvature Risk Position Scenario
              • Equity Curvature Risk Position Up
              • Equity Curvature Risk Weight
              • Equity Curvature Sb
              • Equity Curvature shock-down prices
              • Equity Curvature shock-up prices
            • Delta
              • Equity Delta Risk Charge
              • Equity Delta Risk Position
              • Equity Delta Risk Position Correlations
              • Equity Delta Risk Position Double Sums
              • Equity Delta Risk Weight
              • Equity Delta Sensitivities
              • Equity Delta Weighted Sensitivities
            • Vega
              • Equity Vega Risk Charge
              • Equity Vega Risk Position
              • Equity Vega Risk Position Correlations
              • Equity Vega Risk Position Double Sums
              • Equity Vega Risk Weight
              • Equity Vega Sensitivities
              • Equity Vega Weighted Sensitivities
          • FX
            • Curvature
              • FX Curvature CVR Down
              • FX Curvature CVR Up
              • FX Curvature Delta Sensitivities
              • FX Curvature Delta Weighted Sensitivities
              • FX Curvature Risk Charge
              • FX Curvature Risk Position
              • FX Curvature Risk Position Down
              • FX Curvature Risk Position Scenario
              • FX Curvature Risk Position Up
              • FX Curvature Risk Weight
              • FX Curvature Sb
              • FX Curvature shock-down prices
              • FX Curvature shock-up prices
            • Delta
              • FX Delta Risk Charge
              • FX Delta Risk Position
              • FX Delta Risk Position Correlations
              • FX Delta Risk Position Double Sums
              • FX Delta Risk Weight
              • FX Delta Sensitivities
              • FX Delta Weighted Sensitivities
            • Vega
              • FX Vega Risk Charge
              • FX Vega Risk Position
              • FX Vega Risk Position Correlations
              • FX Vega Risk Position Double Sums
              • FX Vega Risk Weight
              • FX Vega Sensitivities
              • FX Vega Weighted Sensitivities
          • GIRR
            • Curvature
              • GIRR Curvature CVR Down
              • GIRR Curvature CVR Up
              • GIRR Curvature Delta Sensitivities
              • GIRR Curvature Delta Weighted Sensitivities
              • GIRR Curvature Risk Charge
              • GIRR Curvature Risk Position
              • GIRR Curvature Risk Position Down
              • GIRR Curvature Risk Position Scenario
              • GIRR Curvature Risk Position Up
              • GIRR Curvature Risk Weight
              • GIRR Curvature Sb
              • GIRR Curvature shock-down prices
              • GIRR Curvature shock-up prices
            • Delta
              • GIRR Delta Risk Charge
              • GIRR Delta Risk Position
              • GIRR Delta Risk Position Correlations
              • GIRR Delta Risk Position Double Sums
              • GIRR Delta Risk Weight
              • GIRR Delta Sensitivities
              • GIRR Delta Weighted Sensitivities
            • Vega
              • GIRR Vega Risk Charge
              • GIRR Vega Risk Position
              • GIRR Vega Risk Position Correlations
              • GIRR Vega Risk Position Double Sums
              • GIRR Vega Risk Weight
              • GIRR Vega Sensitivities
              • GIRR Vega Weighted Sensitivities
          • Notional
          • Notional (Original Currency)
          • Notional (Original Currency) DRC
          • Notional DRC
          • PV
          • PV DRC
          • PV.CCY
          • RRAO
            • Residual Risk Add On
          • Timestamp
        • StressCalibration
          • ES (Basic)
          • ES (Capital Constrained)
          • ES (Capital Unconstrained)
          • ES (Capital)
          • ES (Current Ratio)
          • ES (ISES)
          • ES (Liquidity Adj.)
          • ES (Model Variation)
          • ES (PnL Vector)
          • ES (PnL Vector) CCY
          • ES (PnL Vector) Expand
          • ES (PnL Vector) Non-Modellable Idiosyncratic
          • ES (PnL Vector) Non-Modellable Non-Idiosyncratic
          • ES (PnL Vector) RAW
          • ES (SES)
          • IMCC
          • IMCC Indicator
          • LH
          • Omega
          • Previous LH
          • SES
          • SES max
          • Squared ES (Liquidity Adj.)
          • Squared LHScaleFactor
      • Context values
        • CA-Lookback
        • DifferentiationStepSize
        • ES (Model Variation) Lookback (context value)
        • IMADRC-Lookback (context value)
        • ImaNbExceptions
        • NbDaysPLMeasures
        • ProRataHierarchy
        • ProRataLeafLevel
        • ReferenceLevel
        • ReferenceLevelVisualTotalsMode
      • Dimensions
        • [Booking].[Books]
        • [Booking].[Categories]
        • [Booking].[Desks]
        • [Booking].[FRTB Model]
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        • [Booking].[PLA Zone]
        • [Booking].[Trades]
        • [Buckets].[Commodity Buckets]
        • [Buckets].[CSR non-Sec Buckets]
        • [Buckets].[CSR Sec CTP Buckets]
        • [Buckets].[CSR Sec non-CTP Buckets]
        • [Buckets].[Equity Buckets]
        • [Buckets].[FX Buckets]
        • [Buckets].[GIRR Buckets]
        • [Currencies].[Currency]
        • [Dates].[BookStructureDate]
        • [Dates].[Date]
        • [Dates].[OmegaDate]
        • [Dates].[TradeDates]
        • [Default Risk Charge].[DRC Direction]
        • [Default Risk Charge].[DRC Fund Treatment]
        • [Default Risk Charge].[DRC Instrument LGD Type]
        • [Default Risk Charge].[DRC Maturity]
        • [Default Risk Charge].[DRC non-Sec Bucket]
        • [Default Risk Charge].[DRC non-Sec Rating]
        • [Default Risk Charge].[DRC Obligor]
        • [Default Risk Charge].[DRC Sec CTP Attachment]
        • [Default Risk Charge].[DRC Sec CTP Bucket]
        • [Default Risk Charge].[DRC Sec CTP Detachment]
        • [Default Risk Charge].[DRC Sec CTP Instrument Type]
        • [Default Risk Charge].[DRC Sec CTP Rating Type]
        • [Default Risk Charge].[DRC Sec CTP Rating]
        • [Default Risk Charge].[DRC Sec CTP Security]
        • [Default Risk Charge].[DRC Sec CTP Seniority]
        • [Default Risk Charge].[DRC Sec non-CTP Asset Class]
        • [Default Risk Charge].[DRC Sec non-CTP Attachment]
        • [Default Risk Charge].[DRC Sec non-CTP Bucket]
        • [Default Risk Charge].[DRC Sec non-CTP Detachment]
        • [Default Risk Charge].[DRC Sec non-CTP Rating Type]
        • [Default Risk Charge].[DRC Sec non-CTP Rating]
        • [Default Risk Charge].[DRC Sec non-CTP Region]
        • [Default Risk Charge].[DRC Sec non-CTP Seniority]
        • [Default Risk Charge].[DRC Sec non-CTP Tranche]
        • [Default Risk Charge].[DRC Seniority]
        • [Default Risk Charge].[DRC Zero Risk Weight]
        • [displayCurrency].[displayCurrency]
        • [Double Sums].[Commodity Delta Double Sums]
        • [Double Sums].[Commodity Vega Double Sums]
        • [Double Sums].[CSR non-Sec Delta Double Sums]
        • [Double Sums].[CSR non-Sec Vega Double Sums]
        • [Double Sums].[CSR Sec CTP Delta Double Sums]
        • [Double Sums].[CSR Sec CTP Vega Double Sums]
        • [Double Sums].[CSR Sec non-CTP Delta Double Sums]
        • [Double Sums].[CSR Sec non-CTP Vega Double Sums]
        • [Double Sums].[Equity Delta Double Sums]
        • [Double Sums].[Equity Vega Double Sums]
        • [Double Sums].[FX Delta Double Sums]
        • [Double Sums].[FX Vega Double Sums]
        • [Double Sums].[GIRR Delta Double Sums]
        • [Double Sums].[GIRR Vega Double Sums]
        • [Epoch].[Epoch]
        • [Lookback].[Lookback]
        • [Market Data].[CSR Quality]
        • [Market Data].[CSR Rating]
        • [Market Data].[CSR Sec non-CTP Attachment]
        • [Market Data].[CSR Sec non-CTP Detachment]
        • [Market Data].[CSR Sec non-CTP Pool]
        • [Market Data].[CSR Sector]
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        • [Market Data].[Equity Market Cap]
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        • [Market Data].[GIRR Curve Types]
        • [Market Data].[Underlying]
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        • [Parameter Sets].[Parameter Set]
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        • [Risk].[FX Counter Currency]
        • [Risk].[Idiosyncratic]
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        • [Risk].[Original Maturity]
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        • [Risk].[Present Value Ladder]
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        • [Risk].[Risk Classes]
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        • [Risk].[Risk Measures]
        • [Risk].[RRAO Category]
        • [Risk].[Scenario Dates]
        • [Risk].[Sensitivity Scale Category]
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        • [Sign-off].[Sign-off Status]
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