Parameter Sets
- Specific values defined in [MAR50] are shipped with the Solution in a set labelled “BCBS”.
- An additional set labelled “Experiment” is shipped for demonstration purpose and contains overrides (for instance for the parameter “sa.fx.delta.rw”) to the parent “BCBS”.
- Additional sets of parameter values can be added in a customer project.
Users can analyse calculations under different parameter values side-by-side by using [Parameter Set].[Parameter Set] hierarchy.
- Users can override parameter sets values in a WhatIf experiment and analyse the impact of parameter changes on capital. To compare “master” and experimental calculations use [Epoch].[Epoch] hierarchy.
The “Parameter Sets” widget under WhatIf Simulations category can be used to display base and experimental parameter values. For the sets having a parent, you may need to activate the toggle “Lineage” to view the overrides together with the based values.
Scope
The set includes these regulatory parameters for the BA approach:
- counterparty correlation $\rho$ [MAR50.14]
- risk weights $RW$, given per “Sector” and “Credit Quality” [MAR50.16]
- hedge-counterparty correlation $r_{hc}$ [MAR50.26]
- beta parameter [MAR50.20]
The set includes these regulatory parameters for the SA approach:
- CVA multiplier $m_{CVA}$ ([MAR50.41])
- risk weights $RW_{k}$ ([MAR50.54] - [MAR50.77])
- risk factor correlations $\rho_{kl}$ ([MAR50.54] - [MAR50.77])
- disallowance parameter $R$ ([MAR50.52])
- cross-buckets correlations $\gamma_{kl}$ ([MAR50.54] - [MAR50.77]),
- list of currencies ([MAR50.56]),
- domestic currency is part of the application jurisdiction setting.
Parameters
Parameters are organized into categories, which you can select on top left of the “Parameter Sets” widget.
The “CVARC Parameters” category is used for parameters that are set as constants:
| Key | Reference | Description |
|---|---|---|
| ba.rho | [50.14] | Correlation $\rho$ in the BA-CVA approach |
| ba.beta | [50.20] | Parameter $\beta$ in the BA-CVA approach |
| ba.r_hc.legalRelation | [50.26] | Correlation $r_{hc}$ for single name having a legal relation with counterparty c |
| ba.r_hc.same | [50.26] | Correlation $r_{hc}$ for single name which is the same as counterparty c |
| ba.r_hc.sameSectorRegion | [50.26] | Correlation $r_{hc}$ for single name which shares sector and region with counterparty c |
| ba.r_hc.shareNothing | [50.26] | Correlation $r_{hc}$ for single name which does not have any relation to counterparty c |
| sa.default.multiplier | [50.41] | CVA multipler $m_{CVA}$ |
| sa.default.disallowance. parameter | [50.52] | Disallowance parameter |
| sa.ir.delta.cross.bucket. correlation | [50.55] | Correlations $\gamma_{bc}$ for IR delta |
| sa.ir.vega.cross.bucket. correlation | [50.55] | Correlations $\gamma_{bc}$ for IR vega |
| sa.ir.vega.riskfactor. correlation | [50.58](4) | Correlation between interest rate volatilities and the inflation rate volatilities |
| sa.fx.delta.cross.bucket. correlation | [50.60] | Correlations $\gamma_{bc}$ for FX delta |
| sa.fx.vega.cross.bucket. correlation | [50.60] | Correlations $\gamma_{bc}$ for FX vega |
| sa.fx.delta.rw | [50.61](3) | Risk weights for FX delta risk factors |
| sa.ccr.delta.riskfactor. correlation.sameEnity. differentTenors | [50.65](4) | Correlation $\rho_{kl}$ between different tenors of the same entity |
| sa.ccr.delta.riskfactor. correlation.sameCreditQuality. sameTenors | [50.65](5)(a) | Correlation $\rho_{kl}$ between unrelated entities of the same credit quality, same tenors |
| sa.ccr.delta.riskfactor. correlation.sameCreditQuality. differentTenors | [50.65](5)(b) | Correlation $\rho_{kl}$ between unrelated entities of the same credit quality, different tenors |
| sa.ccr.delta.riskfactor. correlation.differentTenors | [50.65](6)(b) | Correlation $\rho_{kl}$ between unrelated entities of the different credit quality, different tenors |
| sa.ccr.delta.riskfactor. correlation.sameTenors | [50.65](6)(b) | Correlation $\rho_{kl}$ between unrelated entities of the different credit quality, same tenors |
| sa.ccr.delta.riskfactor. correlation.legallyRelated. sameTenors | [50.65](7)(a) | Correlation $\rho_{kl}$ between legally related entities, same tenors |
| sa.ccr.delta.riskfactor. correlation.legallyRelated. differentTenors | [50.65](7)(b) | Correlation $\rho_{kl}$ between legally related entities, different tenors |
| sa.eq.delta.cross. bucket.correlation | [50.71] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that fall within bucket numbers 1 to 10. |
| sa.eq.delta.cross. otherbucket.correlation | [50.71] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that include bucket 11. |
| sa.eq.vega.cross. bucket.correlation | [50.71] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that fall within bucket numbers 1 to 10. |
| sa.eq.vega.cross. otherbucket.correlation | [50.71] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that include bucket 11. |
| sa.comm.delta.cross. bucket.correlation | [50.75] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that fall within bucket numbers 1 to 10. |
| sa.comm.delta.cross. otherbucket.correlation | [50.75] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that include bucket 11. |
| sa.comm.vega.cross. bucket.correlation | [50.75] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that fall within bucket numbers 1 to 10. |
| sa.comm.vega.cross. otherbucket.correlation | [50.75] | Correlations $\gamma_{bc}$ for all cross-bucket pairs that include bucket 11. |
The other categories include parameters set as matrices:
- “Interest Rate Delta Correlation” category sets correlations defined in [MAR50.56](4)
- “Counterparty Credit Spread Delta Cross Bucket Correlation” category sets correlations defined in [MAR50.64]
- “Reference Credit Cross Bucket Correlation” category sets correlations defined in [MAR50.67]
- “Sa Cva Vega Risk Weight” displays vega risk weights variables $RW_{\sigma}$ and $c$ set in [MAR50.58](3), [MAR50.62](3), [MAR50.69](3), [MAR50.73](3), [MAR50.77](3)
- “Interest Rate Delta Risk Weight” category sets risk weights defined in [MAR50.56](3)
- “Counterparty Credit Spread Delta Risk Weight” category sets out risk weights defined in [MAR50.65](3)
- “Reference Credit Delta Risk Weight” category sets out risk weights defined in [MAR50.68](3)
- “Equity Delta Risk Weight” category sets out risk weights defined in [MAR50.72](3)
- “Commodity Delta Risk WEight” category sets out risk weights defined in [MAR50.76](3)
- “Liquid Interest Rate Currency” sets the list of currencies for the purposes of [MAR50.56]