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 interpret-impl/acr.html
-
ACR
test ../../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../../ test interpret-impl/jurisdictions/parameter-sets.html
-- Parameter Sets
test ../../ test interpret-impl/jurisdictions/crr2_frtbonly.html
-- CRR2 support
test ../../ test interpret-impl/jurisdictions/crr3_frtbonly.html
-- CRR3 support
test ../../ test interpret-impl/jurisdictions/hkma_frtbonly.html
-- HKMA support
test ../../ test interpret-impl/jurisdictions/mas_frtbonly.html
-- MAS support
test ../../ test interpret-impl/jurisdictions/us-frb_frtbonly.html
-- US FRB support
test ../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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FRTB P&L Attribution Tests and Backtesting
test ../../ test interpret-impl/_footer.html
-
test ../../ test cube.html
Analytics Reference
test ../../ test dev.html
Developer Guide
test ../../ test dev/dev-release.html
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Release and migration notes
test ../../ test dev/dev-getting-started.html
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Getting Started
test ../../ test dev/dev-ui-config.html
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Configuring the UI
test ../../ test dev/dev-ref-impl.html
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FRTB Reference Implementation
test ../../ test dev/dev-core.html
-
FRTB Core
test ../../ test dev/dev-extensions.html
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Extending the Solution
test ../../ test dev/dev-tools.html
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Configuring Solution tools and methodologies
test ../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../ test dev/dev-direct-query.html
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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
HKMA support
The Hong Kong Monetary Authority (HKMA) has set out their requirements for FRTB in
SPM MR-1 – Market Risk Capital Charge ,
published March 2024.
Full capital and disclosure requirements have been effective since January 2025.
Atoti FRTB contains a “HKMA” parameter set that configures the calculations to be compatible with SPM MR-1.
The parameter set is defined in the configuration/HKMA directory.
Differences With BCBS
The reporting currency is set to Hong Kong Dollar (HKD).
For the FX risk-class, the risk-weight for the USD/HKD currency pair is set to 1.3% (MR-1 3.4.42)