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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---
SA SBM
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----
Commodity
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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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-----
Input Files (Reference Implementation)
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-----
Datastore (Reference Implementation)
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Cube Schema (Reference Implementation)
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-----
Configuration (Core)
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----
CSR non-Sec
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----
CSR Sec CTP
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CSR Sec non-CTP
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Equity
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----
FX
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----
GIRR
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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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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
ETL (Reference Implementation)
The ETL (Extract, Transform, Load) layer provided with Atoti FRTB,
using the default file format, will perform the following
transformations when data is loaded from the input files into the
datastore.
Risk Factor Name
If the risk-factor name is not included in the input file (using the
default file format), a name is generated as follows:
Delta: Commodity + Location
Vega: Commodity
Curvature: Commodity
Normalization
In the default file format, each row of the sensitivities' files
contains the sensitivity as well as a description of the risk factor.
The data normalization splits this information across two stores in the
datastore, as described in the data model .
Vectorization
For efficiency, Delta and Vega sensitivities are stored in vectors. The
entries of the vectors represent the tenors/maturities of the risk
factors.
In the default file format, we allow sensitivities to be provided as
either single values or as vectors. During the ETL, sensitivities are
grouped together into vectors.
Interpolation
For compatibility with risk engines, Delta and Vega sensitivities may be
loaded for any tenor/maturity. During the ETL, these sensitivities are
interpolated to match the tenors/maturities in the specification.