FRTB Accelerator Cubes GuideMultiplier
Download sample file: multiplier.csv
Backtesting dependent multiplier (see [MAR32.9]).
This Multiplier file type is identified using the pattern: **/Multiplier.csv (as specified by multiplier.file-pattern).
This file is loaded using the IMAMultiplier topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| NumExceptions | Y | N | Integer | The number of exceptions encountered in the backtesting of the bank’s daily VaR. | |
| Multiplier | N | N | Double | The multiplier used in the calculation of the aggregated charge associated with approved desks (see [MAR33.41] and [MAR33.42]). | |
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |