DRC Sec non-CTP

Download PDF version of this chapter: FRTB_Impl_DRC_Sec_non-CTP_5.3.pdf

This section describes how the DRC Sec non-CTP risk-class is implemented and how the MAR standard is interpreted.

Also covered here is the specialization of the data, calculations, and configuration for the DRC Sec non-CTP risk-class, including:

• The data model, which describes the data used for the calculations and how it is structured, and how the data model is represented in the input files, datastore, and cube.
• The calculations, both in the ETL and at query time
• The parameters used in the query time calculations