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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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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Data Model (Core)
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Calculations
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------ ETL (Reference Implementation)
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------
Query Time (Core)
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-----
Configuration (Core)
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---
SA SBM
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--
IMA
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Jurisdictions
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FRTB P&L Attribution Tests and Backtesting
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Analytics Reference
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Developer Guide
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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
Calculations
This section describes the data manipulation and calculations applied to the sensitivities from the input files.
First, the ETL (Extract, Transform, Load) layer will apply some transformations
as the data is loaded from the input files into the datastore.
Once the data is loaded into the datastore, it is available in the cube.
The Market Value and JTD values in the cube may be partially aggregated upon commit to the datastore for BITMAP and LEAF aggregate providers.
The remainder of the aggregation is performed by Atoti Server at query time.
Then, also at query time, the post-processors calculate the capital requirements from these aggregated values.