Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
Commodity Risk Charge
The risk charge for risk class Commodity across sensitivity types under the ‘Medium correlations’ scenario
Coverage Ratio
Coverage Ratio required by OSFI (Capital Adequacy Requirements (CAR) Chapter 9 paragraph 267)
Crypto 2a Risk Charge
The risk charge for risk class Crypto 2a across sensitivity types under the ‘Medium correlations’ scenario
CSR non-Sec Risk Charge
The risk charge for risk class CSR non-Sec across sensitivity types under the ‘Medium correlations’ scenario
CSR Sec CTP Risk Charge
The risk charge for risk class CSR Sec CTP across sensitivity types under the ‘Medium correlations’ scenario
CSR Sec non-CTP Risk Charge
The risk charge for risk class CSR Sec non-CTP across sensitivity types under the ‘Medium correlations’ scenario
Equity Risk Charge
The risk charge for risk class Equity across sensitivity types under the ‘Medium correlations’ scenario
FX Risk Charge
The risk charge for risk class FX across sensitivity types under the ‘Medium correlations’ scenario
GIRR Risk Charge
The risk charge for risk class GIRR across sensitivity types under the ‘Medium correlations’ scenario
Medium Risk Charge
The sensitivities based risk charge, under Medium correlations scenario as if all positions are under SA
Portfolio Risk Charge
Standardized approach capital requirement as if all positions were under SA approach, sums SBM, DRC SA, RRAO, and Crypto 2b
PortfolioRiskCharge.D2D
Day-to-day change for a measure
SA
Standardized approach capital requirement evaluated across all desks
SBM Correlation Scenario
The correlation scenario used for the SBM Risk Charge
SBM Risk Charge (reference scenario)
The sensitivities based risk charge, for the reference level correlation scenario
SBM Risk Charge
The sensitivities based risk charge, as if all positions are under SA