Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-release/release-notes.html
-- Release notes
test ../ test dev/dev-release/migrate-5.1.html
-- Migration notes 5.1
test ../ test dev/dev-release/previous-migration.html
--
Previous migration notes
test ../ test dev/dev-getting-started.html
-
Getting started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-extensions.html
-
Extending Atoti CVA Risk Capital
test ../ test user-getting-started.html
Getting started
test ../ test user-getting-started/about-guide.html
- Using this guide
test ../ test user-getting-started/pdf.html
- PDF guides
test ../ test user-getting-started/about-cvarc.html
- About the Solution
test ../ test user-getting-started/whats-new.html
- What's New
test ../ test user-getting-started/bookmarks.html
- Bookmarks
test ../ test regulatory-calcs.html
Regulatory calculations
test ../ test configuration.html
Configuration files
test ../ test cube.html
Cube reference
test ../ test input-files.html
Input file formats
test ../ test input-files/configuration.html
-
Configuration files
test ../ test input-files/approval-to-use-sa.html
-- Approval to use SA
test ../ test input-files/buckets-commodity.html
-- Buckets - Commodity
test ../ test input-files/buckets-cpty-credit-spread.html
-- Buckets - Cpty credit spread
test ../ test input-files/buckets-equity.html
-- Buckets - Equity
test ../ test input-files/buckets-foreign-exchange.html
-- Buckets - Foreign exchange
test ../ test input-files/buckets-interest-rate.html
-- Buckets - Interest rate
test ../ test input-files/buckets-reference-credit-spread.html
-- Buckets - Reference credit spread
test ../ test input-files/carved-out-netting-sets.html
-- Carved out netting sets
test ../ test input-files/credit-quality-mapper.html
-- Credit Quality Mapper
test ../ test input-files/fx-rates.html
-- FX Rates
test ../ test input-files/regulatory-vertices.html
-- Regulatory vertices
test ../ test input-files/risk-data.html
-
Portfolio risk data
test ../ test input-files/reference-data.html
-
Reference data
test ../ test input-files/regulatory-parameter.html
-
Regulatory parameters
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
Buckets - Reference credit spread
Download sample file: sa-cva-buckets-reference-credit-spread.csv
Buckets configuration files contain mappings of the sensitivity fields to SA-CVA Buckets. Their content needs to be updated to translate the organization’s classifications to the ones defined in [MAR50.66].
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Risk value date
2018-09-28
Sector
Y
N
String
Organization’s sector attribute corresponding to sectors in [MAR50.66]
Manufacturing
CreditQuality
Y
N
String
Field used to map sensitivities to a bucket, must contain one of the following: ‘HY’ ‘IG’ ‘NR’
IG
BucketNumber
N
N
String
Bucket number.
4
BucketDescription
N
Y
String
Human-readable description of a bucket. Used for analytical purposes
IG Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying. The field is not used at the moment.