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- What's New
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- FRTB Data Model
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Interpretation and Implementation of the MAR standard
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ACR
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--
SA
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--- Key SA Measures
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---
SA DRC
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----
DRC non-Sec
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----
DRC Sec non-CTP
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---
SA SBM
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--
IMA
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Jurisdictions
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Glossary
DRC Sec non-CTP
Download PDF version of this chapter: FRTB_Impl_DRC_Sec_non-CTP_5.2.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