CVARC Parameters

BA SA

Download sample file: cvarc-parameters.csv

The file must contain the list of parameters. It covers the parameters defined as scalar values. Parameter values defined as matrices (for instance, bucket/bucket correlation) use separate files.

If a file is not provided for a date, the most recent preceding date file will be used.

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Risk value date 2018-09-28
Key Y N String Key of a parameter. See the list of allowed keys in the Parameter Sets guide. sa.eq.delta.cross.bucket.correlation
Value Y N Double Value of the parameter 0.6
ParameterSet Y Y 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