SBP_RM SBP Market risk measures - DPM module | DPM Navigator

SBP_RM SBP Market risk measures - DPM moduleDPM module SBP_RM SBP Market risk measures: 20 tables in DPM release 4.4, including C_107.01.a, C_107.01.b, C_107.02, C_108.00, C_109.01.a, C_109.01.b.

C_107.01.a VaR, SVaR and PV. Details

C_107.01.b VaR, SVaR and PV. Details.Comments

C_107.02 VaR and SVaR non-CTP. EBA Portfolio currency results

C_108.00 One year profit & loss VaR non-CTP

C_109.01.a IRC. Details of the model

C_109.01.b IRC. Details of the model. Comments

C_109.02.a IRC. Details by portfolio (I)

C_109.02.b IRC. Details by portfolio (II)

C_109.03 IRC. Amount by portfolio/date

C_110.01.a CT. Details of the model

C_110.01.b CT. Details of the model. Comments

C_110.02.a CT. Details by portfolio (I)

C_110.02.b CT. Details by portfolio (II)

C_110.03 CT. APR by portfolio/date

C_120.01 SBM. Risk sensitivities by Instrument/Portfolio

C_120.02 SBM. OFR Composition by Portfolio

C_120.04 DRC. Market values and gross JTD amounts by Instrument/Portfolio

C_120.05 DRC. OFR Composition by Portfolio

C_120.06 ASA. OFR

S_00.01 Nature of Report (SBP)

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