Navigation :
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User & Reference Guide
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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 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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----
FX
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----- Implementation 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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-----
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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----
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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FRTB Reference Implementation
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FRTB Core
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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
Data Model (Core)
This section describes the data used for the FX calculations, including how the data is structured.
This is a simplified description, for details on jurisdictional support including handling the reporting/base currency, see accompanying “FRTB FX Base and Reporting Currencies” document.
For FX Delta and Curvature, the Risk Factor Currency (Underlying) refers to the FX rate between the instrument currency and the reporting/base currency [MAR21.14](1).
For FX Vega, the Currency Pair (Underlying) refers to the FX rate [MAR21.14](2).
The Risk Factor is used to identify sensitivities .
However, it is not used directly in the calculations, instead the Risk Factor Currency , Counter Currency , Currency Pair , 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.
The Bucket is the same as the Risk Factor Currency or Currency Pair .