Skip to main content

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.

Aggregate capital requirement (ACR) for market risk is the overarching capital measure combining the results of SA and IMA calculations. ACRtotalACR_{total} is specified in MAR 33.43 as: min{IMAGA+CapitalSurcharge+CU; SAall desk}+max{0; IMAG,A−SAG,A}min\left\{ IMA_{GA} + CapitalSurcharge + C_U;\ SA_{all\text{ }desk}\right\} + max\left\{ 0;\ IMA_{G,A} - SA_{G,A} \right\} Where:
  • Aggregate capital requirement for approved desks and eligible trading desks IMAGA=CA+DRCIMA_{GA} = C_A + DRC
  • Standardised approach capital requirement for trading desks that are either out-of-scope for model approval or that have been deemed ineligible to use the internal models approach CU=SBM+RRAO+DRCSAC_U = SBM + RRAO + DRC_{SA}
  • If at least one eligible trading desk is in the PLA test amber zone, a capital surcharge is added Capital surcharge=k⋅max{0, SAG,A−IMAG,A}Capital\ surcharge = k \cdot max\left\{ 0,\ SA_{G,A} - IMA_{G,A}\right\}
These calculations are implemented as measures in the Solution and can be analyzed in parallel in a consistent combined view. Full reconciliation is possible, as every step of the calculation is represented by a measure that can be visualised in a pivot table (or tabular view) of the cube.

​
ACR Spot (Spot version of ACR)

ACR ignoring the historical averages. For details of the measures, see the following: