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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----
Crypto 2a
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----- Interpretation Note
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-----
Data Model (Core)
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------ Sensitivities
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------ Risk Factor: [SCO60.73] to [SCO60.75]
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------ Underlying
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-----
Calculations
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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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Releases and upgrades
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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
Underlying
For Crypto 2a delta and curvature, the Crypto asset and exchange (Underlying) refers to the distinct crypto asset [SCO60.73] and the corresponding exchange [SCO60.74] .Crypto asset (Underlying) refers to the distinct crypto asset [SCO60.73] without any differentiation by the exchange [SCO60.75] .
Field
Key
Risk Measure
Description
As-of Date
Y
All
Timestamp (at close of business) for the data (T-1)
Underlying
Y
Delta/Curvature
Crypto asset and exchange
Underlying
Y
Vega
Crypto asset
Risk Class
Y
All
“Crypto 2a”
Bucket
All
Crypto asset
Location
Delta/Curvature
Crypto exchange