Navigation :
test ../../../ test user-ref.html
User & Reference Guide
test ../../../ test getting-started.html
Getting started
test ../../../ test getting-started/using-this-guide.html
- Using this guide
test ../../../ test getting-started/whats-new.html
- What's New
test ../../../ test getting-started/video-walk-throughs.html
- Video walk-throughs
test ../../../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../../../ test getting-started/directquery.html
- DirectQuery
test ../../../ test configuration.html
Configuration files
test ../../../ test datastore.html
Data Stores
test ../../../ test database.html
Database
test ../../../ test input-files.html
Input Data
test ../../../ test tutorials.html
Tutorials
test ../../../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../../../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../../../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../../../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../../../ test cube.html
Analytics Reference
test ../../../ test dev.html
Developer Guide
test ../../../ test dev/dev-release.html
-
Release and migration notes
test ../../../ test dev/dev-getting-started.html
-
Getting Started
test ../../../ test dev/dev-ui-config.html
-
Configuring the UI
test ../../../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../../../ test dev/dev-core.html
-
FRTB Core
test ../../../ test dev/dev-extensions.html
-
Extending the Solution
test ../../../ test dev/dev-tools.html
-
Configuring Solution tools and methodologies
test ../../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../../ test dev/dev-direct-query.html
-
DirectQuery
test ../../../ test limits.html
Limit monitoring
test ../../../ test sign-off.html
Sign-Off Approvals
test ../../../ test what-if.html
What-If Analysis
test ../../../ test pdf-guides.html
PDF Guides
test ../../../ test glossary.html
Glossary
IMCC and SES calculations
This section describes the IMCC and SES calculations in Atoti FRTB, and how these calculations contribute to the CA . It assumes familiarity with the MAR 33 specification and of the inputs to the Solution.
Cubes
The IMCC , SES , and CA (Spot) measures are found in InternalModelApproachCube, IMASummaryCube, and FRTBCombinedCube. These measures only look at a single as-of date.
The IMCCavg , SESavg , and CA measures require the long (60 day) history and are only found in FRTBCombinedCube.