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
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
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ACR
test ../../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../../ test interpret-impl/acr/sa/key-measures-sa_frtbonly.html
--- 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)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/gross-jtd.html
------- Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/scaled-gross-jtd.html
------- Scaled Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/net-jtd.html
------- Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/hbr.html
------- HBR
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/risk-weight.html
------- Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/weighted-net-jtd.html
------- Weighted Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/default-risk-charge.html
------- Default Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/configuration-core.html
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Configuration (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SA SBM
test ../../../../../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../../../../../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../../../../../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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FRTB P&L Attribution Tests and Backtesting
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test ../../../../../../../ test cube.html
Analytics Reference
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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
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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
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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
Risk Weight
The Risk Weights are defined in [MAR22.34] .
They may be provided in the input files for each tranche.
Otherwise the SEC-ERBA risk weights are determined for the tranche as specified in CRE42 .
The risk weights are looked up from the SEC-ERBA risk weights store.
They are looked up by Rating , Rating Type and Seniority .
For non-senior tranches the Attachment Point and Detachment Point are used to determine the tranche thickness.