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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Input Data
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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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----
CSR non-Sec
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Data Model (Core)
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------ Sensitivities
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------ Risk Factor [MAR10.9]
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------ Curve
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-----
Calculations
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Input Files (Reference Implementation)
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Config Files
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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 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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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
Data Model (Core)
This section describes the data used for the CSR non-Sec calculations, including how the data is structured.
For CSR non-Sec, the Curve (Underlying) refers to the relevant issuer credit spread curves (bond and CDS) [MAR21.9](1).
Each of these curves has a Curve Name , Bucket , Credit Quality , Sector , and for covered bonds a Covered Bond Rating .
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Curve , Curve Type , and tenor fields are used (as appropriate for the risk-measure).
This means that multiple Risk Factor Names may be used for the same risk-factor.
Additionally, for each Bucket a canonical Credit Quality Category and Sector Category are identified.