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
Hedges risk data
Download sample file: ba-cva-hedges-risk-data.csv
The file provides eligible hedges risk data - reducing BA-CVA capital charge according to the Full BA-CVA Approach.
The File must contain only trades eligible for the BA. The accelerator expects that eligibility according to [MAR50.10] is evaluated by the upstream data management/risk system.
Field
Key
Null
FieldType
Description
Example
AsOfDate
String with format ‘YYYY-MM-DD’
Risk value date
2018-09-28
TradeId
String
Primary trade identifier. Must match Trade Attributes file. Note: If coming from multiple systems, Trade Ids may need to prepend source system to the id for uniqueness.
MX-283749
Notional
Double
Notional value in accordance with [MAR50.23] and [MAR50.24]
200000
NotionalCcy
String
Currency of notional value
EUR
RemainingMaturity
Double
Remaining maturity of the hedge trade in years
3