Navigation :
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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
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Tutorials
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- Data Sanity Check
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- Tips for Validating the Calculations
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- Viewing QIS Numbers
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Interpretation and Implementation of the MAR standard
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Analytics Reference
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Measures
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Measure variations
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ACR
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FRTBCombined
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IMADRC
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InternalModelApproach
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PL
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StandardisedApproach
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StressCalibration
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Context values
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Dimensions
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Developer Guide
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Release and migration notes
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Getting Started
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Configuring the UI
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FRTB Reference Implementation
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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
InternalModelApproach
This section provides calculation walk-throughs for the Internal Models approach.
Note: The measures in this section disregard the actual capital treatment of individual positions and compute charges as if all positions are under IMA. We recommend applying a filter on [Booking].[FRTB Model] equal to “IMA” to limit the scope to positions officially under the “IMA” approach.