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RW - Reference credit spread delta
Download sample file: sa-cva-risk-weights-delta-reference-credit-spread.csv
The file is used to set risk weights for reference credit spread delta risk factors.
| Field |
Key |
Null |
FieldType |
Description |
Example |
| AsOfDate |
|
|
String with format ‘YYYY-MM-DD’ |
Indicates the start date for this parameter. Subsequent entries with later dates will apply an end to this date range |
2018-09-28 |
| ParameterSet |
|
|
String |
Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS |
BCBS |
| BucketNumber |
|
|
String |
Must match bucket number from the buckets configuration files. |
3 |
| RiskWeight |
|
|
Double |
The weight in numeric format. |
0.03 |