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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----
FX
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----
GIRR
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----- Interpretation 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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-----
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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--
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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Configuring the UI
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FRTB Reference Implementation
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FRTB Core
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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
Calculations
This section describes ETL from the reference implementation and the transformations / calculations applied to the sensitivities in the post-processors after they have been aggregated.
First, the ETL (Extract, Transform, Load) layer will apply some transformations
as the data is loaded from the input files into the datastore .
Once the data is loaded into the datastore, it is available in the cube .
The sensitivities in the cube may be partially aggregated upon commit to the datastore for BITMAP and LEAF aggregate providers.
The remainder of the sensitivity aggregation is performed by Atoti Server at query time.
Then, also at query time, the post-processors calculate the capital charge from the aggregated sensitivities.