Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-health-check.html
- Data Health Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test configuration.html
Configuration files
test ../ test configuration/signoff-export-properties.html
- signoff.export.properties
test ../ test configuration/front-template.html
-
test ../ test configuration/commodity_bucketriskweights.html
- Commodity_BucketRiskWeights
test ../ test configuration/commodity_intrabucketcorrelations.html
- Commodity_IntraBucketCorrelations
test ../ test configuration/csr_bucketsriskweights_nonsec.html
- CSR_BucketsRiskWeights_NONSEC
test ../ test configuration/csr_bucketsriskweights_secctp.html
- CSR_BucketsRiskWeights_SECCTP
test ../ test configuration/csr_bucketsriskweights_secnonctp.html
- CSR_BucketsRiskWeights_SECNONCTP
test ../ test configuration/csrns_bucket_correlations.html
- CSRNS_Bucket_Correlations
test ../ test configuration/default_risk_weights.html
- Default_Risk_Weights
test ../ test configuration/eqty_bucketsriskweights.html
- EQTY_BucketsRiskWeights
test ../ test configuration/erba_risk_weight.html
- ERBA_Risk_Weight
test ../ test configuration/frtb-config_properties.html
- frtb-config.properties
test ../ test configuration/frtb-data-load-properties.html
- frtb-data-load.properties
test ../ test configuration/frtbparameters.html
- FRTBParameters
test ../ test configuration/fx_risk_weight_overrides.html
- FX Risk-Weight Overrides
test ../ test configuration/fx_special_crosses.html
- FX_Special_Crosses
test ../ test configuration/girr_correlation_overrides.html
- GIRR Correlation Overrides
test ../ test configuration/girr_delta_weightings.html
- GIRR_Delta_Weightings
test ../ test configuration/girr_major_currency.html
- GIRR_Major_Currency
test ../ test configuration/instrument_lgd.html
- Instrument_LGD
test ../ test configuration/liquidityhorizons.html
- LiquidityHorizons
test ../ test configuration/obligor_risk_weights.html
- Obligor_Risk_Weights
test ../ test configuration/option_residual_maturity_vertices.html
- Option_Residual_Maturity_Vertices
test ../ test configuration/parameterset.html
- ParameterSet
test ../ test configuration/sensitivity_scaling.html
- Sensitivity Scaling
test ../ test configuration/signoff-properties.html
- signoff.properties
test ../ test configuration/vega_liquidity_horizons.html
- Vega_Liquidity_Horizons
test ../ test configuration/vertices.html
- Vertices
test ../ test sign-off.html
Sign-Off Approvals
test ../ test cube.html
Data Cubes
test ../ test what-if.html
What-If Analysis
test ../ test datastore.html
Data Stores
test ../ test input-files.html
Input Files
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
GIRR Correlation Overrides
The GIRR Correlation Overrides.csv file contains overrides for the GIRR delta bucket ($\gamma_{bc}$) correlations. For example, the ERM II currencies for CRR2. It is loaded into the GIRRCorrelationOverrides store.
Field name
Description
Currency
The first GIRR bucket in the pair
Counter Currency
The second GIRR bucket in the pair
Correlation
The correlation to use between the two buckets ($\gamma_{bc}$)
Start Date
The start date that the parameter takes effect
ParameterSet
The parameter set to which the parameter belongs (default = BCBS)
File values
Currency
Counter Currency
Correlation
Start Date
ParameterSet
DKK
EUR
0.8
2016-01-01
CRR2