RW - Vega

SA

Download sample file: sa-cva-risk-weights-vega.csv

The file is used to set parameter values for computing vega risk weights.

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
RiskClass Y N String Risk classes, or risk types, defined in [MAR50.45]: ‘interest rate’, ‘foreign exchange’, ‘counterparty credit spread’, ‘reference credit spread’, ‘equity’, ‘commodity’ Commodity
RW N N Double Parameter RW for calculating vega risk weight 0.55
ParameterC N N Double Parameter under the square root of vega risk weight formula 12
Bucket N N String Bucket number 4