RW - Reference credit spread delta

SA

Download sample file: sa-cva-risk-weights-delta-reference-credit-spread.csv

The file is used to set risk weights for reference 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
BucketNumber Y N String Must match bucket number from the buckets configuration files. 3
RiskWeight N N Double The weight in numeric format. 0.03