Skip to main content
This section describes the IMCC and SES calculations in Atoti FRTB, and how these calculations contribute to the CA. It assumes familiarity with the specification and of the inputs to the Solution.

​
Cubes

The IMCC, SES, and CA (Spot) measures are found in InternalModelApproachCube, IMASummaryCube, and FRTBCombinedCube. These measures only look at a single as-of date. The IMCCavg, SESavg, IMCC Lookback, SES Lookback, and ES (Model Variation) avg / Lookback measures require the long (60 day) history and are found in InternalModelApproachCube and FRTBCombinedCube. IMADRCavg and IMADRC Lookback are found in IMADRCCube and FRTBCombinedCube.

IMCC calculations

This section describes the IMCC calculations in the Solution.

SES calculations

This section describes the SES calculations in the Solution.

CA calculations

This section describes the CA calculations in the Solution.

IMA ES FX Conversions

This section describes the FX conversion of IMA ES P&L values when the FX rate is shocked.