This task type caters for banks that calculate sensitivities for the FRTB standardised approach in their front office, and load them to Vector Risk to run the Basel capital formula.

For banks that wish to load trade and position data and use Vector Risk to generate the sensitivities see the section labeled Sensitivity Generation.

A csv Header file (shown below) can be exported which provides the load format. Instructions for exporting the header file are in the section Loading CSV data. Each risk class has its own three sensitivity formats (for delta, vega and curvature) that match definitions of vertices for that risk class and sensitivity type.

There header file also includes headers for loading SA-FRTB default risk and residual risk.