This document contains the file formats for the CSV files that can be used by clients as input to the Atoti CVA Risk Capital Reference Implementation.
Portfolio data, reference data and configuration files need to be replaced with organization’s data. Regulatory parameters files contain the default set of parameters as in BCBS and as a start can be left unchanged.
Sample input files are included in the source distribution. These files are loaded during testing of the reference implementation and provide examples of each of the file types.
A note on file name patterns
The files and their respective names are used as inputs for the Atoti CVA Risk Capital. These files however are read by name according to a pattern, so you can add characters before and after the listed names, such as timestamps or ID numbers. ex: [reference-names-attributes.csv] will be accepted also as [reference-names-attributes_1104894920.csv] and [file1.reference-names-attributes.csv].