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/reference-data.html
-
Reference data
test ../ test input-files/regulatory-parameter.html
-
Regulatory parameters
test ../ test input-files/corr-buckets-commodity.html
-- Corr - Buckets - Commodity
test ../ test input-files/corr-buckets-counterparty-credit-spread.html
-- Corr - Buckets - Counterparty credit spread
test ../ test input-files/corr-buckets-equity.html
-- Corr - Buckets - Equity
test ../ test input-files/corr-buckets-reference-credit-spread.html
-- Corr - Buckets - Reference credit spread
test ../ test input-files/corr-risk-factors-interest-rate-delta.html
-- Corr - Risk factors - Interest rate delta
test ../ test input-files/cvarc-parameters.html
-- CVARC Parameters
test ../ test input-files/rw.html
-- RW
test ../ test input-files/rw-commodity-delta.html
-- RW - Commodity delta
test ../ test input-files/rw-counterparty-credit-spread-delta.html
-- RW - Counterparty credit spread delta
test ../ test input-files/rw-equity-delta.html
-- RW - Equity delta
test ../ test input-files/rw-interest-rate-delta.html
-- RW - Interest rate delta
test ../ test input-files/rw-reference-credit-spread-delta.html
-- RW - Reference credit spread delta
test ../ test input-files/rw-vega.html
-- RW - Vega
test ../ test input-files/special-currencies.html
-- Special currencies
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
RW - Interest rate delta
Download sample file: sa-cva-risk-weights-delta-interest-rate.csv
The file is used to set risk weights for interest rate delta risk factors.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Indicates the start date for this parameter. Subsequent entries with later dates will apply an end to this date range
2018-09-28
ParameterSet
Y
Y
String
Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS
BCBS
IsLiquidOrDomestic
Y
N
String, ‘Y’ or ‘N’
Indicates whether the risk weights refers to currencies listed in [MAR50.56]
Y
IsInflation
Y
N
String, ‘Y’ or ‘N’
Indicates whether the risk weights refer to inflation curves
Y
Tenor
Y
Y
String
Should contain tenors (in years) defined in [MAR50.56] when IsLiquidDomestic contains ‘Y’ and IsInflation is ‘N’. Otherwise it must be Null. Must match vertices configuration file.
1
RiskWeight
N
N
Double
The weight in numeric format.
0.005