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Download sample file: ba-cva-risk-weights.csv
The file is used to set risk weights per Sector and Credit quality.
| Field |
Key |
Null |
FieldType |
Description |
Example |
| AsOfDate |
Y |
N |
String with format ‘YYYY-MM-DD’ |
Indicates the start date for this property. 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 RiskWeight belongs |
BCBS |
| CreditQuality |
Y |
N |
String |
Credit quality of a CVA counterparty or hedge reference name: IG, HY, NR |
IG |
| Sector |
Y |
N |
String |
Sector of a CVA counterparty or of the hedge reference name |
Sovereigns Including Central Banks |
| RiskWeight |
N |
N |
Double |
Risk weight as defined in [MAR50.16] of the Basic Approach for CVA |
0.005 |