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Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
| Parameter |
Parameter Name |
Default Value |
| $\rho_{kl}^{(name)}$ in [MAR21.54] |
sa.csr-nonsec.delta.rho-name.correlation |
0.35 |
| $\rho_{kl}^{(tenor)}$ in [MAR21.54] and [MAR21.55] |
sa.csr-nonsec.delta.rho-tenor.correlation |
0.65 |
| $\rho_{kl}^{(basis)}$ in [MAR21.54] and [MAR21.55] |
sa.csr-nonsec.delta.rho-basis.correlation |
0.999 |
| $\rho_{kl}^{(name)}$ in [MAR21.55] |
sa.csr-nonsec.delta.rho.index.correlation |
0.8 |
| $\gamma_{bc}^{(rating)}$ in [MAR21.57] |
sa.csr-nonsec.delta.gamma-rating.correlation |
0.5 |
| Use alternative risk weight for highly rated covered bonds in [MAR21.53] |
sa.csr-nonsec.delta.risk-weight.covered-bonds.use-high-rating-alternative |
true |
| Alternative risk weight for highly rated covered bonds in [MAR21.53] |
sa.csr-nonsec.delta.risk-weight.covered-bonds.high-rating-alternative |
0.015 |
| $RW_\sigma$ in [MAR21.92] |
sa.vega.rw |
0.55 |
| $\alpha$ in [MAR21.93](1)(a) |
sa.vega.rho-option-maturity.alpha |
0.01 |