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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---
SA SBM
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----
Commodity
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-----
Data Model (Core)
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------ Sensitivities
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------ Risk Factor [MAR10.9]
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------ Commodity
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-----
Calculations
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Input Files (Reference Implementation)
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Datastore (Reference Implementation)
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Cube Schema (Reference Implementation)
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-----
Configuration (Core)
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----
CSR non-Sec
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----
CSR Sec CTP
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----
CSR Sec non-CTP
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----
Equity
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----
FX
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----
GIRR
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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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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 [MAR10.9]
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Commodity , Location , and tenor fields are used (as appropriate for the risk-measure).
This means that multiple Risk Factor Names may be used for the same risk-factor.
The Commodity (Underlying) refers to the “distinct commodity” [MAR21.83] (1) and [MAR21.84] .
Field
Key
Risk Measure
Description
As-of Date
Y
All
Timestamp (at close of business) for the data (T-1)
Risk Factor Name
Y
All
A name for the risk-factor
Risk Class
Y
All
“Commodity”
Risk Measure
Y
All
“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor
Y
Delta
The time to maturity of the traded instrument (Delta)
Option Maturity
Y
Vega
The maturity of the option (Vega)
Commodity (Underlying)
All
The distinct commodity
Location
All
Delivery location of the commodity
For Vega and Curvature, the risk-factor is the same as the underlying.