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CSRBucketCorrelations
| Store Field |
Key |
CanBeNull |
Type |
Cube Field |
Description |
| Bucket_X |
Y |
N |
String |
|
The first CSR Sec CTP bucket (1-16). |
| Bucket_Y |
Y |
N |
String |
|
The second CSR Sec CTP bucket (1-16). |
| Correlation |
N |
N |
Double |
|
The gamma(sector) correlation between the two buckets. |
| RiskClass |
Y |
N |
String |
|
|
| AsOfDate |
Y |
N |
LOCALDATE[yyyy-mm-dd] |
|
The start date that the parameter takes effect. |
| ParameterSet |
Y |
N |
String |
|
The parameter set to which the parameter belongs (default = BCBS). |
FRTB Accelerator Cubes Guide