Crypto 2a

Download PDF version of this chapter: FRTB_Impl_SBM_Commodity_6.0.pdf

This section describes how the SBM Crypto 2a Risk Class is implemented and how the SCO60 specification is interpreted.

There are two configuration parameter, set to false by default, specifically added for the Crypto 2a Risk Class that control specific aspects of its implementation. These are:

• ‘frtb.crypto-2a.apply-correlation-stress’ detailed in Crypto 2a Interpretation note
• ‘frtb.crypto-2a.exchange-stored’ explained in UnderlyingDescription

Also covered here is the specialization of the data, calculations, and configuration for the Crypto 2a 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
  • cube
• The calculations, both in the ETL and at query time
• The parameters used in the query time calculations