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Query Time (Core)

For the CSR Sec CTP risk class, there are three main chains of post-processor calculations: Delta, Vega, and Curvature.

Delta and Vega

The calculation steps for Delta and Vega are the same:

  1. The calculations start by applying currency conversion to the aggregated raw sensitivities from the cube to get the Sensitivities.

  2. The risk-weights are applied to get the Weighted Sensitivities (per risk-factor).

  3. The (rho) correlations are then used to calculate the Risk Position (per bucket).

  4. The Risk Positions are combined across all buckets to calculate the Risk Charge.

In the bookmarks folder “ActiveViam FRTB” -> “Basel Framework” -> “SBM”, there are bookmarks “CSR Sec CTP Delta” and “CSR Sec CTP Vega,” which contain tabs that walk through these calculation steps and include the measures mentioned here.

Curvature

For Curvature, the calculation steps are:

  1. Start with vectors of shocked prices indexed by risk-weight (per risk-factor).

  2. The risk-weight then determines which Shock Up/Down Prices we want, subtracting the trade PV if necessary.

  3. The delta sensitivities are filtered sensitivities from the Delta calculations, and aggregated per Curvature risk-factor.

  4. These are then combined to calculate the CVR Up/Down (per risk-factor).

  5. The Risk Position Up/Down are calculated per bucket.

  6. The greater of the up and down risk-positions is identified by the Risk Position Scenario, and used for the Risk Position (per bucket).

  7. The Risk Positions are combined across all buckets to calculate the Risk Charge.

The bookmark “ActiveViam FRTB” -> “Basel Framework” -> “SBM” -> “CSR Sec CTP Curvature” contains tabs that walk through these calculation steps and includes the measures mentioned here.