Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters store.
Parameter | Parameter Name | Default Value |
---|---|---|
$\rho_{kl}^{(name)}$ in [MAR21.54] | sa.csr-nonsec.delta.rho-name.correlation | 0.35 |
$\rho_{kl}^{(tenor)}$ in [MAR21.54] and [MAR21.55] | sa.csr-nonsec.delta.rho-tenor.correlation | 0.65 |
$\rho_{kl}^{(basis)}$ in [MAR21.54] and [MAR21.55] | sa.csr-nonsec.delta.rho-basis.correlation | 0.999 |
$\rho_{kl}^{(name)}$ in [MAR21.55] | sa.csr-nonsec.delta.rho.index.correlation | 0.8 |
$\gamma_{bc}^{(rating)}$ in [MAR21.57] | sa.csr-nonsec.delta.gamma-rating.correlation | 0.5 |
Use alternative risk weight for highly rated covered bonds in [MAR21.53] | sa.csr-nonsec.delta.risk-weight.covered-bonds.use-high-rating-alternative | true |
Alternative risk weight for highly rated covered bonds in [MAR21.53] | sa.csr-nonsec.delta.risk-weight.covered-bonds.high-rating-alternative | 0.015 |
$RW_\sigma$ in [MAR21.92] | sa.vega.rw | 0.55 |
$\alpha$ in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |