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RW - Vega
Download sample file: sa-cva-risk-weights-vega.csv
The file is used to set parameter values for computing vega risk weights.
| 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 |
| RiskClass |
|
|
String |
Risk classes, or risk types, defined in [MAR50.45]: ‘interest rate’, ‘foreign exchange’, ‘counterparty credit spread’, ‘reference credit spread’, ‘equity’, ‘commodity’ |
Commodity |
| RW |
|
|
Double |
Parameter RW for calculating vega risk weight |
0.55 |
| ParameterC |
|
|
Double |
Parameter under the square root of vega risk weight formula |
12 |
| Bucket |
|
|
String |
Bucket number |
4 |