Interpretation and implementation of the MAR standard

These pages describe how Atoti FRTB interprets and implements the calculation of RWA for market risk (MAR) standard in the Basel Framework specification. Including:

The data model used in Atoti FRTB
The calculations (including measures and hierarchies)
Configuration parameters
How the model fits into the reference implementation (input files, datastore, cube)
The implementation (that is, the cube specification and file formats) of P&L Attribution Tests and Backtesting

This document focuses on the data and analytics for the MAR standard. For broader information, see the relevant parts of the Atoti FRTB documentation set:

Input file formats
Datastore
Cube schemas
Variations on the calculations, e.g. low- and high-correlation scenarios, Capital Allocation and Incremental measures.
Booking and trade information