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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----- Interpretation Note
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-----
Data Model (Core)
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------ JTD Exposure
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------ Risk Factor
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------ Obligor
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------ Field Mappings
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-----
Calculations
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-----
Configuration (Core)
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----
DRC Sec non-CTP
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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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Configuring the UI
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FRTB Reference Implementation
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FRTB Core
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Extending the Solution
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Configuring Solution tools and methodologies
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Sign-Off
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DirectQuery
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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
Risk Factor
The Risk Factor is used (along with the trade ID and as-of date) to identify the JTD Exposures
However, this field is not used directly in the calculations, instead the Obligor , Seniority , and Maturity fields are used.
This means that multiple Risk Factor Names may be used for the same risk-factor.
Field
Key
Description
As-of Date
Y
Timestamp (at close of business) for the data (T-1)
Risk Factor Name
Y
A name for the risk-factor
Risk Class
Y
“DRC non-Sec”
Risk Measure
Y
“DRC”
Obligor (Underlying)
Name of the obligor
Seniority
Seniority of the exposure to the obligor
Maturity
Maturity of the trade
Zero Risk Weight
Flag indicating if the exposure qualifies for a zero risk-weight