Navigation :
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Getting started
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- Using this guide
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- What's New
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- Data Sanity Check
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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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----
CSR Sec CTP
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----
CSR Sec non-CTP
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----- Interpretation Note
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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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------- Delta/Vega Sensitivities
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------- Delta Sensitivities Long/Short
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------- Curvature Scenario Up/Down PV.CCY
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-curv-rw.html
------- Delta/Vega/Curvature Risk Weight
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-weighted-sensi.html
------- Delta/Vega Weighted Sensitivities
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-delta-sensi.html
------- Curvature Delta Sensitivities
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-shock-up-down.html
------- Curvature Shock Up/Down Prices
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------- Curvature CVR Up/Down
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-risk-position-double-sums.html
------- Delta/Vega Risk Position Double Sums
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------- Delta/Vega Risk Position Correlations
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------- Delta Vega Risk Position
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------- Curvature Risk Position Up/Down
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------- Curvature Risk Position Scenario
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------- Curvature Risk Position
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-risk-charge.html
------- Delta/Vega Risk Charge
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-charge.html
------- Curvature Risk Charge
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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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----
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
Query Time (Core)
For the CSR Sec non-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:
The calculations start by applying currency conversion to the aggregated raw sensitivities from the cube to get the Sensitivities .
The risk-weights are applied to get the Weighted Sensitivities (per risk-factor).
The (rho) correlations are then used to calculate the Risk Position (per bucket).
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 non-CTP Delta” and “CSR Sec non-CTP Vega”
which contain tabs that walk through these calculation steps and include the measures mentioned here.
Curvature
For Curvature, the calculation steps are:
Start with vectors of shocked prices indexed by risk-weight (per risk-factor).
The risk-weight then determines which Shock Up/Down Prices we want, subtracting the trade PV if necessary.
The delta sensitivities are filtered sensitivities from the Delta calculations, and aggregated per Curvature risk-factor.
These are then combined to calculate the CVR Up/Down (per risk-factor).
The Risk Position Up/Down are calculated per bucket.
The greater of the up and down risk-positions is identified by the Risk Position Scenario , and used for the Risk Position (per bucket).
The Risk Positions are combined across all buckets to calculate the Risk Charge .
The bookmark “ActiveViam FRTB” -> “Basel Framework” -> “SBM” -> “CSR Sec non-CTP Curvature”
contains tabs that walk through these calculation steps and includes the measures mentioned here.