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RW - Counterparty credit spread delta
Download sample file: sa-cva-risk-weights-delta-counterparty-credit-spread.csv
The file is used to set risk weights for counterparty credit spread delta risk factors.
Field |
Key |
Null |
FieldType |
Description |
Example |
AsOfDate |
Y |
N |
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 |
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 |
CreditQuality |
Y |
N |
String |
Credit quality - ‘HY’, ‘IG’ or ‘NR’. Must match buckets configuration files. |
HY |
BucketNumber |
Y |
N |
String |
Must match bucket number from the buckets configuration files. |
3 |
BucketSuffix |
Y |
Y |
String |
Allows defining a BucketNumber subcategory - a) and b) - for the risk weight lookup - see [MAR50.63] |
a) |
RiskWeight |
N |
N |
Double |
The weight in numeric format. |
0.03 |