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
test ../../../../../../ test interpret-impl/acr/sa.html
--
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
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/fx/datastore-ref-impl/vega.html
------ Vega
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/fx/datastore-ref-impl/curv.html
------ Curvature
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/fx/cube-ref-impl.html
-----
Cube Schema (Reference Implementation)
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-----
Configuration (Core)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
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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-
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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
RiskFactorDescription
The RiskFactorDescription store contains the description of risk-factor .
The following table lists the fields in the store that are used for the FX risk-class.
See the RiskFactorDescription store documentation for details on the store.
Data Model Field
Store Field
Notes
As-Of Date
AsOfDate
Risk Factor Name
Risk Factor
Risk Class
RiskClass
“FX”
Risk Measure
Risk Measure
“Delta”, “Vega”, or “Curvature”
Risk Factor Currency
Underlying
Counter Currency
FXCounterCurrency
Sensitivity Tenors
Maturity
for Vega only