Navigation :
test ../ test developer-getting-started.html
Getting Started
test ../ test developer-getting-started/deadlock-partitions-for-reference-stores-workaround.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test developer-getting-started/maven-modules.html
- Maven Project Modules
test ../ test developer-guides.html
Developer Guides
test ../ test developer-guides/adding-a-field.html
- Adding a Field
test ../ test developer-guides/adding-a-new-file.html
- Adding a File
test ../ test developer-guides/adding-a-hierarchy.html
- Adding a Hierarchy
test ../ test developer-guides/adding-a-measure.html
- Adding a Measure
test ../ test developer-guides/column-calculators.html
- Column Calculators
test ../ test developer-guides/examples-datastorehelpers.html
- Datastore Helper Examples
test ../ test developer-guides/navigating-managerdesc.html
- Navigating managerDesc
test ../ test user-getting-started.html
Getting started
test ../ test user-getting-started/whats-new.html
- What's New?
test ../ test user-getting-started/about-cvarc.html
- About the Accelerator
test ../ test user-getting-started/about-guide.html
- About this guide
test ../ test user-getting-started/bookmarks.html
- Bookmarks
test ../ test user-getting-started/pdf.html
- PDF
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/delta-sensitivities-of-hedges.html
-- Delta sensitivities of Hedges
test ../ test input-files/delta-sensitivities-of-the-regulatory-cva.html
-- Delta sensitivities of the Regulatory CVA
test ../ test input-files/exposures-at-default.html
-- Exposures at default
test ../ test input-files/hedges-risk-data.html
-- Hedges risk data
test ../ test input-files/sensitivity-files.html
-- Sensitivity Files
test ../ test input-files/vega-sensitivities-of-hedges.html
-- Vega sensitivities of Hedges
test ../ test input-files/vega-sensitivities-of-the-regulatory-cva.html
-- Vega sensitivities of the Regulatory CVA
test ../ test input-files/reference-data.html
-
Reference data
test ../ test input-files/regulatory-parameter.html
-
Regulatory parameters
test ../ test sign-off.html
Sign-Off
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
Exposures at default
Download sample file: ba-cva-credit-exposures-risk-data.csv
The file provides the risk data required by the Reduced BA approach, specifically exposures at default and effective maturities of netting sets, falling under CVA capital requirements.
Field
Key
Null
FieldType
Description
Example
AsOfDate
String with format ‘YYYY-MM-DD’
Risk value date
2018-09-28
NettingSetId
String
Identifier of a netting set
72394
EADCcy
String
Currency of EAD value
EUR
EAD
Double
Exposure at default (EAD) for a netting set calculated in the same way as the bank calculates it for CCR Capital
23479.34
EffectiveMaturity
Double
Effective maturity of a netting set in years, in accordance with [MAR50.15]
2.3
UnderIMM
String, ‘Y’ and ‘N’
This field is ‘Y’ if the EAD was computed using IMM approach.
Y
See also