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RW - Interest rate delta

SA

Download sample file: sa-cva-risk-weights-delta-interest-rate.csv

The file is used to set risk weights for interest rate 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
IsLiquidOrDomestic Y N String, ‘Y’ or ‘N’ Indicates whether the risk weights refers to currencies listed in [MAR50.56] Y
IsInflation Y N String, ‘Y’ or ‘N’ Indicates whether the risk weights refer to inflation curves Y
Tenor Y Y String Should contain tenors (in years) defined in [MAR50.56] when IsLiquidDomestic contains ‘Y’ and IsInflation is ‘N’. Otherwise it must be Null. Must match vertices configuration file. 1
RiskWeight N N Double The weight in numeric format. 0.005