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
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc.html
---
SA DRC
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec.html
----
DRC non-Sec
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/interpretation-note.html
----- Interpretation Note
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core.html
-----
Data Model (Core)
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-----
Calculations
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------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core.html
------
Query Time (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/gross-jtd.html
------- Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/scaled-gross-jtd.html
------- Scaled Gross JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/net-jtd.html
------- Net JTD
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------- HBR
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------- Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/weighted-net-jtd.html
------- Weighted Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations/query-time-core/default-risk-charge.html
------- Default Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/configuration-core.html
-----
Configuration (Core)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp.html
----
DRC Sec non-CTP
test ../../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SA SBM
test ../../../../../../../ test interpret-impl/acr/ima.html
--
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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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
Scaled Gross JTD
The Scaled Gross JTD Gross JTD scaled according to maturity.
The maturity scaling has a ceiling of 1 (sa.drc.maturity.max) and a floor of 0.25 (sa.drc.maturity.min).
If no maturity is provided, the scale factor is set to 0.25 (sa.drc.maturity.default).
This default value can be used for cash equity positions.
warning
For CRR2 the parameter sa.drc.no-maturity-floor-when-offsetting=true means that the scaling cannot be determined until the offsetting has been performed.
In this case the scaling is performed when calculating the Net JTD and this measure is not used as an intermediate measure and will, incorrectly, always use the floor.