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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- Video walk-throughs
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- FRTB Data Model
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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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-----
Input Files (Reference Implementation)
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-----
Config Files
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-----
Datastore (Reference Implementation)
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------ SaSensitivities
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------ RiskFactorDescription
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------ UnderlyingDescription
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------ Delta
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------ Vega
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------ Curvature
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/datastore-ref-impl/csr-sec-non-ctp-buckets.html
------ CSRSecNonCTPBucket
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/datastore-ref-impl/csr-bucket-desc.html
------ CSRBucketDesc
test ../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp/cube-ref-impl.html
-----
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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DirectQuery
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Limit monitoring
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What-If Analysis
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PDF Guides
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Glossary
Datastore (Reference Implementation)
This section describes how the SA datastore schema is used for the CSR Sec non-CTP risk class.
The schema starts with the SaSensitivities store, which is an index of all the facts in the SA Cube.
The SaSensitivities store has references to the risk-factor descriptions and sensitivities.
Risk Factor Descriptions
The risk-factor description starts with the RiskFactorDescription store,
which contains the description of risk-factor independent of the tranche ,
and a reference to the UnderlyingDescription store for a description of the tranche.
The UnderlyingDescription store references the CSRBucketDesc store for the bucket descriptions.
Sensitivities
The sensitivities stores contain the sensitivity values, they are referenced from the SaSensitivities store.