Parameter Sets

Users can analyse calculations under different parameter values side-by-side by using [Parameter Set].[Parameter Set] hierarchy.

The “Parameter Sets” widget under WhatIf Simulations category can be used to display base and experimental parameter values. For the sets having a parent, you may need to activate the toggle “Lineage” to view the overrides together with the based values.

Scope

The set includes these regulatory parameters for the BA approach:

The set includes these regulatory parameters for the SA approach:

Parameters

Parameters are organized into categories, which you can select on top left of the “Parameter Sets” widget.

The “CVARC Parameters” category is used for parameters that are set as constants:

Key Reference Description
ba.rho [50.14] Correlation ρ in the BA-CVA approach
ba.beta [50.20] Parameter β in the BA-CVA approach
ba.r_hc.legalRelation [50.26] Correlation rhc for single name having a legal relation with counterparty c
ba.r_hc.same [50.26] Correlation rhc for single name which is the same as counterparty c
ba.r_hc.sameSectorRegion [50.26] Correlation rhc for single name which shares sector and region with counterparty c
ba.r_hc.shareNothing [50.26] Correlation rhc for single name which does not have any relation to counterparty c
sa.default.multiplier [50.41] CVA multipler mCVA
sa.default.disallowance. parameter [50.52] Disallowance parameter
sa.ir.delta.cross.bucket. correlation [50.55] Correlations γbc for IR delta
sa.ir.vega.cross.bucket. correlation [50.55] Correlations γbc for IR vega
sa.ir.vega.riskfactor. correlation [50.58](4) Correlation between interest rate volatilities and the inflation rate volatilities
sa.fx.delta.cross.bucket. correlation [50.60] Correlations γbc for FX delta
sa.fx.vega.cross.bucket. correlation [50.60] Correlations γbc for FX vega
sa.fx.delta.rw [50.61](3) Risk weights for FX delta risk factors
sa.ccr.delta.riskfactor. correlation.sameEnity. differentTenors [50.65](4) Correlation ρkl between different tenors of the same entity
sa.ccr.delta.riskfactor. correlation.sameCreditQuality. sameTenors [50.65](5)(a) Correlation ρkl between unrelated entities of the same credit quality, same tenors
sa.ccr.delta.riskfactor. correlation.sameCreditQuality. differentTenors [50.65](5)(b) Correlation ρkl between unrelated entities of the same credit quality, different tenors
sa.ccr.delta.riskfactor. correlation.differentTenors [50.65](6)(b) Correlation ρkl between unrelated entities of the different credit quality, different tenors
sa.ccr.delta.riskfactor. correlation.sameTenors [50.65](6)(b) Correlation ρkl between unrelated entities of the different credit quality, same tenors
sa.ccr.delta.riskfactor. correlation.legallyRelated. sameTenors [50.65](7)(a) Correlation ρkl between legally related entities, same tenors
sa.ccr.delta.riskfactor. correlation.legallyRelated. differentTenors [50.65](7)(b) Correlation ρkl between legally related entities, different tenors
sa.eq.delta.cross. bucket.correlation [50.71] Correlations γbc for all cross-bucket pairs that fall within bucket numbers 1 to 10.
sa.eq.delta.cross. otherbucket.correlation [50.71] Correlations γbc for all cross-bucket pairs that include bucket 11.
sa.eq.vega.cross. bucket.correlation [50.71] Correlations γbc for all cross-bucket pairs that fall within bucket numbers 1 to 10.
sa.eq.vega.cross. otherbucket.correlation [50.71] Correlations γbc for all cross-bucket pairs that include bucket 11.
sa.comm.delta.cross. bucket.correlation [50.75] Correlations γbc for all cross-bucket pairs that fall within bucket numbers 1 to 10.
sa.comm.delta.cross. otherbucket.correlation [50.75] Correlations γbc for all cross-bucket pairs that include bucket 11.
sa.comm.vega.cross. bucket.correlation [50.75] Correlations γbc for all cross-bucket pairs that fall within bucket numbers 1 to 10.
sa.comm.vega.cross. otherbucket.correlation [50.75] Correlations γbc for all cross-bucket pairs that include bucket 11.

The other categories include parameters set as matrices:

  1. “Interest Rate Delta Correlation” category sets correlations defined in [MAR50.56](4)
  2. “Counterparty Credit Spread Delta Cross Bucket Correlation” category sets correlations defined in [MAR50.64]
  3. “Reference Credit Cross Bucket Correlation” category sets correlations defined in [MAR50.67]
  4. “Sa Cva Vega Risk Weight” displays vega risk weights variables RWσ and c set in [MAR50.58](3), [MAR50.62](3), [MAR50.69](3), [MAR50.73](3), [MAR50.77](3)
  5. “Interest Rate Delta Risk Weight” category sets risk weights defined in [MAR50.56](3)
  6. “Counterparty Credit Spread Delta Risk Weight” category sets out risk weights defined in [MAR50.65](3)
  7. “Reference Credit Delta Risk Weight” category sets out risk weights defined in [MAR50.68](3)
  8. “Equity Delta Risk Weight” category sets out risk weights defined in [MAR50.72](3)
  9. “Commodity Delta Risk WEight” category sets out risk weights defined in [MAR50.76](3)
  10. “Liquid Interest Rate Currency” sets the list of currencies for the purposes of [MAR50.56]

See also