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
test ../../../../../../../ test interpret-impl/acr.html
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ACR
test ../../../../../../../ test interpret-impl/acr/sa.html
--
SA
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--- Key SA Measures
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc.html
---
SA DRC
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
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-non-ctp.html
----
CSR Sec non-CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/interpretation-note.html
----- Interpretation Note
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Data Model (Core)
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Calculations
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------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-vega-sensi.html
------- Delta/Vega Sensitivities
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/delta-sensi-long-short.html
------- 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
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/calculations/query-time-core/curv-risk-position-scenario.html
------- 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)
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Config Files
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Datastore (Reference Implementation)
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Cube Schema (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/configuration-core.html
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Configuration (Core)
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
test ../../../../../../../ test interpret-impl/jurisdictions.html
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Jurisdictions
test ../../../../../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
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FRTB P&L Attribution Tests and Backtesting
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test ../../../../../../../ test cube.html
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
Delta/Vega Sensitivities
The Delta /Vega Sensitivities
measures are the $s_k$ in [MAR21.4] (1) and (2).
For each Sensitivity Currency , the Interpolated Sensitivities
are converted to the reference currency using the IFxRates API (supplied
by the reference implementation). After this currency conversion, the
values are aggregated for each Risk Factor .