Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-release/release-notes.html
-- Release notes
test ../ test dev/dev-release/migrate-4.0.html
-- Migration notes 4.0
test ../ test dev/dev-getting-started.html
-
Getting started
test ../ test dev/dev-extensions.html
-
Extending Atoti CVA Risk Capital
test ../ test user-getting-started.html
Getting started
test ../ test user-getting-started/about-guide.html
- Using this guide
test ../ test user-getting-started/pdf.html
- PDF guides
test ../ test user-getting-started/about-cvarc.html
- About the Solution
test ../ test user-getting-started/whats-new.html
- What's New
test ../ test user-getting-started/bookmarks.html
- Bookmarks
test ../ test cube.html
Cube reference
test ../ test regulatory-calcs.html
Regulatory calculations
test ../ test input-files.html
Input file formats
test ../ test input-files/configuration.html
-
Configuration files
test ../ test input-files/approval-to-use-sa.html
-- Approval to use SA
test ../ test input-files/buckets-commodity.html
-- Buckets - Commodity
test ../ test input-files/buckets-cpty-credit-spread.html
-- Buckets - Cpty credit spread
test ../ test input-files/buckets-equity.html
-- Buckets - Equity
test ../ test input-files/buckets-foreign-exchange.html
-- Buckets - Foreign exchange
test ../ test input-files/buckets-interest-rate.html
-- Buckets - Interest rate
test ../ test input-files/buckets-reference-credit-spread.html
-- Buckets - Reference credit spread
test ../ test input-files/carved-out-netting-sets.html
-- Carved out netting sets
test ../ test input-files/fx-rates.html
-- FX Rates
test ../ test input-files/regulatory-vertices.html
-- Regulatory vertices
test ../ test input-files/risk-data.html
-
Portfolio risk data
test ../ test input-files/reference-data.html
-
Reference data
test ../ test input-files/regulatory-parameter.html
-
Regulatory parameters
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
Carved out netting sets
Download sample file: sa-cva-carved-nettingsets.csv
The file lists the netting sets carved out from SA approach (see [MAR50.8]).
If the file is missing, no netting sets are carved out from SA-CVA. If this file exists with dates where the sa-cva-approval.csv file said ‘N’ (no approval), it will be ignored.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
Date, ‘YYYY-MM-DD’
Risk value date
2018-09-28
NettingSetIds
N
Y
String Array or String with set format, separated by semicolons
List of netting sets excluded from SA-CVA (to be treated according to BA-CVA)
72394;374269;374295
See also