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
test ./ test tutorials.html
Tutorials
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- Data Sanity Check
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- Tips for Validating the Calculations
test ./ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
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Interpretation and Implementation of the MAR standard
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ACR
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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
test ./ test dev/dev-ui-config.html
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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
Interpretation and Implementation of the MAR standard
These pages describe how Atoti FRTB interprets and implements the calculation of RWA for market risk (MAR) standard in the Basel Framework specification. Including:
The data model used in Atoti FRTB
The calculations (including measures and hierarchies)
Configuration parameters
How the model fits into the reference implementation (input files, datastore, cube)
The implementation (that is, the cube specification and file formats) of P&L Attribution Tests and Backtesting
Note
This document focuses on the data and analytics for the MAR standard. For broader information, please see the relevant parts of the Atoti FRTB documentation set: