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/risk-data.html
-
Portfolio risk data
test ../ test input-files/delta-sensitivities-of-hedges.html
-- Delta sensitivities of Hedges
test ../ test input-files/delta-sensitivities-of-the-regulatory-cva.html
-- Delta sensitivities of the Regulatory CVA
test ../ test input-files/exposures-at-default.html
-- Exposures at default
test ../ test input-files/hedges-risk-data.html
-- Hedges risk data
test ../ test input-files/sensitivity-files.html
-- Sensitivity Files
test ../ test input-files/vega-sensitivities-of-hedges.html
-- Vega sensitivities of Hedges
test ../ test input-files/vega-sensitivities-of-the-regulatory-cva.html
-- Vega sensitivities of the Regulatory CVA
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
Hedges risk data
Download sample file: ba-cva-hedges-risk-data.csv
The file provides eligible hedges risk data - reducing BA-CVA capital charge according to the Full BA-CVA Approach.
The File must contain only trades eligible for the BA. The Solution expects that eligibility according to [MAR50.10] is evaluated by the upstream data management/risk system.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Risk value date
2018-09-28
TradeId
Y
N
String
Primary trade identifier. Must match Trade Attributes file. Note: If coming from multiple systems, Trade Ids may need to prepend source system to the id for uniqueness.
MX-283749
Notional
N
N
Double
Notional value in accordance with [MAR50.23] and [MAR50.24]
200000
NotionalCcy
N
N
String
Currency of notional value
EUR
RemainingMaturity
N
N
Double
Remaining maturity of the hedge trade in years
3