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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- 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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-----
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
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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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Sign-Off
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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
Curvature
The SaSensitivities store contains the Curvature shocked prices .
The following table lists the fields in the store that are used for the FX risk-class.
See the SaSensitivities store documentation for details on the store.
Data Model Field
Store Field
Notes
As-Of Date
AsOfDate
Trade ID
TradeId
Risk Factor Name
Risk Factor
Risk Class
RiskClass
“FX”
Risk Measure
Risk Measure
“Curvature”
Shock Up
Shift_Up_PV
Vector-valued. Same size as Risk Weight
Shock Down
Shift_Down_PV
Vector-valued. Same size as Risk Weight
Risk Weight
RiskWeight
(optional) Vector-valued
PV Applied
PVApplied
‘Y’ or ‘N’
Sensitivity Currency
Ccy
FXDividerEligibility
‘Y’ or ‘N’