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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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- Data Sanity Check
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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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----
FX
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----- Implementation 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/fx/calculations/query-time-core/delta-vega-curv-rw.html
------- Delta/Vega/Curvature Risk Weight
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------- Delta/Vega Weighted Sensitivities
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------- Curvature Delta Sensitivities
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------- Curvature Shock Up/Down Prices
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------- Curvature CVR Up/Down
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------- 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
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------- Delta/Vega Risk Charge
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------- 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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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
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 (Vega) or
Bucket (Delta).
For Delta, if the Counter Currency for a Risk Factor does not
equal the reporting currency, then filtering and translations may be
used. See Base Currency and Jurisdiction .