Navigation :
test ../../../ test user-ref.html
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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- Video walk-throughs
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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
test ../../../ test tutorials.html
Tutorials
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- 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
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Interpretation and Implementation of the MAR standard
test ../../../ test interpret-impl/acr.html
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ACR
test ../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../ test interpret-impl/acr/ima/imcc-ses.html
---
IMCC and SES calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/imcc.html
---- IMCC calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/ses.html
---- SES calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/ca.html
---- CA calculations
test ../../../ test interpret-impl/acr/ima/imcc-ses/ima-es-fx-conversions.html
---- IMA ES FX Conversions
test ../../../ test interpret-impl/acr/ima/key-measures-ima.html
--- Key IMA Measures
test ../../../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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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
test ../../../ test dev/dev-ui-config.html
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Configuring the UI
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FRTB Reference Implementation
test ../../../ test dev/dev-core.html
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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
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.