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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------ JTD Exposure
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------ Risk Factor
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------ Tranche
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------ Field Mappings
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-----
Calculations
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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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-
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 Tranche 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 Sec non-CTP”
Risk Measure
Y
“DRC”
Tranche (Underlying)
Name of the tranche
Maturity
Maturity of the trade