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
test ../../../../../../ test interpret-impl/acr/sa.html
--
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
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec.html
----
CSR non-Sec
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp.html
----
CSR Sec CTP
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/implementation-note.html
----- Implementation Note
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/data-model-core.html
-----
Data Model (Core)
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-----
Calculations
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-----
Input Files (Reference Implementation)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/config-files.html
-----
Config Files
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-----
Datastore (Reference Implementation)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/base.html
------ SaSensitivities
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------ RiskFactorDescription
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/underlying-desc.html
------ UnderlyingDescription
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/delta.html
------ Delta
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/vega.html
------ Vega
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/curv.html
------ Curvature
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/csr-sec-ctp-buckets.html
------ CSRSecCTPBucket
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/csr-bucket-desc.html
------ CSRBucketDesc
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/cube-ref-impl.html
-----
Cube Schema (Reference Implementation)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/configuration-core.html
-----
Configuration (Core)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp.html
----
CSR Sec non-CTP
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/equity.html
----
Equity
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/fx.html
----
FX
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
GIRR
test ../../../../../../ test interpret-impl/acr/ima.html
--
IMA
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-
Jurisdictions
test ../../../../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
-
FRTB P&L Attribution Tests and Backtesting
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-
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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
test ../../../../../../ test dev/dev-core.html
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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
SaSensitivities
The SaSensitivities store is the base store in the SA Cube Schema. Each row in this table represents a fact in the SA Cube.
The following table lists the fields in the store that are used for the CSR Sec CTP risk-class.
See the SaSensitivities store documentation for details on the store.
See Data Model (Core) for a description of the data model.
Data Model Field
Store Field
Notes
As-Of Date
AsOfDate
Trade ID
TradeId
Risk Factor Name
Risk Factor
Risk Class
RiskClass
“CSR Sec CTP”
Risk Measure
Risk Measure
“Delta”, “Vega”, or “Curvature”