FRTB Accelerator Cube GuideGIRRMajorCurrencyAdjustment
| Description |
|---|
Boolean context value - When enabled (default), the weighted sensitivities are divided by square root of 2 for selected currencies as well as the bank’s reporting currency (see para 75 (b) of BCBS 352)
| Description |
|---|
Boolean context value - When enabled (default), the weighted sensitivities are divided by square root of 2 for selected currencies as well as the bank’s reporting currency (see para 75 (b) of BCBS 352)