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
test ../../../../../../../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../../../../../../../ test interpret-impl.html
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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----
DRC non-Sec
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----
DRC Sec non-CTP
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-----
Data Model (Core)
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-----
Calculations
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------ ETL (Reference Implementation)
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core.html
------
Query Time (Core)
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------- Gross JTD
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------- Scaled Gross JTD
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------- Net JTD
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------- HBR
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------- Risk Weight
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/weighted-net-jtd.html
------- Weighted Net JTD
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/calculations/query-time-core/default-risk-charge.html
------- Default Risk Charge
test ../../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp/configuration-core.html
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Configuration (Core)
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
test ../../../../../../../ test dev/dev-ref-impl.html
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FRTB Reference Implementation
test ../../../../../../../ test dev/dev-core.html
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FRTB Core
test ../../../../../../../ test dev/dev-extensions.html
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Extending the Solution
test ../../../../../../../ test dev/dev-tools.html
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Configuring Solution tools and methodologies
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Sign-Off
test ../../../../../../../ test dev/dev-direct-query.html
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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
Net JTD
The Net JTD Long /Short measures are calculated from the Scaled Gross JTD according to [MAR22.29] .
For each tranche, the Scaled Gross JTD is aggregated over all exposures to the tranche, then one of the Net JTD Long or Net JTD Short values are set to this aggregate according to whether it is positive or not.