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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----
CSR non-Sec
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----
CSR Sec CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp.html
----
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
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curvature-scenario-up-down-pv-ccy.html
------- 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
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-cvr-up-down.html
------- 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
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-risk-position-corr.html
------- Delta/Vega Risk Position Correlations
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-risk-position.html
------- Delta Vega Risk Position
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-position-up-down.html
------- Curvature Risk Position Up/Down
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------- Curvature Risk Position Scenario
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-position.html
------- 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
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/input-files-ref-impl.html
-----
Input Files (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/config-files.html
-----
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
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
GIRR
test ../../../../../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../../../../../ test interpret-impl/jurisdictions.html
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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
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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
Delta/Vega Risk Charge
The
Delta /Vega
Risk Charge measures are $\text{Delta}$ and $\text{Vega}$ in [MAR21.4] (5).
They are calculated by combining the Delta/Vega Risk Positions (and
aggregated Delta/Vega Weighted Sensitivities ) over all Buckets
according to [MAR21.4] (5) and [MAR21.71] .
See Interpretation Note for discussion of different
interpretations of [MAR21.71] .