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This section explains how the Basel Framework dashboards can help to validate the SBM calculations. In addition to the overview on this page, it may be helpful to watch the video walk-through of these dashboards.

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Displaying the Basel Framework dashboards

Atoti FRTB comes with an analytical tool and a set of pre-defined dashboards displaying the risk metrics. Ask your IT administrator for access to the application’s URL. After launching the application, click the ActiveViam icon in the top-left corner to open the Dashboards gallery. This presents the list of available dashboards. This tutorial covers the Basel Framework dashboards:
Basel Framework Landing
To obtain the correct capital numbers, you need to provide a complete and consistent risk data set. You also need the attributes required for classification, aggregation and bucketing. Start by checking the high-level input data summary displayed in the Data Sanity Check dashboards. The Basel Framework dashboards are configured to help navigate individual chains of the capital charge calculation, and visualize the interim results. The dashboards are grouped according to the Consolidated Basel Framework chapters. The MAR21 SBM dashboard is described below as an example.

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Example: [MAR21] SBM

This example reviews the dashboards under the [MAR21] SBM folder. The Aggregate SBM dashboard provides a summary of the SBM risk charge by desk.
Basel Framework Chapter 21
Click on the Risk Charge tab to view high, low and medium scenario calculations by desk. When the filters in the view are changed, the system automatically recalculates the capital charges.
Aggregate SBM
The MAR21 SBM folder contains walk-throughs of the Delta, Vega, Curvature rollup chains for each of the risk classes. Consider the Equity Delta example.
Basel Framework Equity Delta
By default the dashboard displays Equity Delta risk metrics across all positions. Consider setting a filter on a desired desk, book or a list of positions. For information on the filtering feature, see the Atoti UI User Documentation. This workbook is organized into the following tabs:

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Implementation details

To learn about the data transformations, mapping and aggregation functions for each of the capital calculation chains, see the corresponding section of the Interpretation and Implementation of BCBS 457 chapter. See this example for Equity.

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Measures documentation

You can also look up individual measure definitions, formulae and references, in the Measures section of the cube reference.