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
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----
CSR Sec non-CTP
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----
Equity
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----- Interpretation Note
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-----
Data Model (Core)
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------ Sensitivities
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------ Risk Factor [MAR10.9]
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------ Equity
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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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-----
Cube Schema (Reference Implementation)
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-----
Configuration (Core)
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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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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
Risk Factor [MAR10.9]
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Equity , Type , and tenor fields are used (as appropriate for the risk-measure).
This means that multiple Risk Factor Names may be used for the same risk-factor.
Field
Key
Risk Measure
Description
As-of Date
Y
All
Timestamp (at close of business) for the data (T-1)
Risk Factor Name
Y
All
A name for the risk-factor
Risk Class
Y
All
“Equity”
Risk Measure
Y
All
“Delta”, “Vega”, or “Curvature”
Option Maturity
Vega
The maturity of the option
Equity Name (Underlying)
All
Name of the equity or equity issuer (see interpretation note ).
Type
All
“Spot” or “Repo”.
For Vega and Curvature, the risk-factor is the same as the underlying.