Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters store.
Parameter | Parameter Name | Default Value |
---|---|---|
$\rho_{kl}$ in [MAR21.78](1) | sa.equity.spot-to-repo.correlation | 0.999 |
$\rho_{kl}$ for Large Market Cap, Emerging Economy buckets in [MAR21.78](2)(a) | sa.equity.large-emerging-market.correlation | 0.15 |
$\rho_{kl}$ for Large Market Cap, Advanced Economy buckets in [MAR21.78](2)(b) | sa.equity.large-advanced.correlation | 0.25 |
$\rho_{kl}$ for Small Market Cap, Emerging Economy buckets in [MAR21.78](2)(c) | sa.equity.small-emerging-market.correlation | 0.075 |
$\rho_{kl}$ for Small Market Cap, Advanced Economy buckets in [MAR21.78](2)(d) | sa.equity.small-advanced.correlation | 0.125 |
$\rho_{kl}$ for Index buckets in [MAR21.78](2)(e) | sa.equity.index.correlation | 0.8 |
$\rho_{kl}$ multiplier for Spot $\times$ Repo risk-factors in [MAR21.78](4) | sa.equity.spot-to-repo.different-issuer.correlation | 0.999 |
$\gamma_{bc}$ between buckets 1-10 in [MAR21.80](1) | sa.equity.delta.gamma.correlation | 0.15 |
$\gamma_{bc}$ between index buckets in [MAR21.80](3) | sa.equity.delta.gamma.index.correlation | 0.75 |
$\gamma_{bc}$ between buckets in 1-10 and index buckets in [MAR21.80](4) | sa.equity.delta.gamma.index-cross.correlation | 0.45 |
$RW_\sigma$ in [MAR21.92] | sa.vega.rw | 0.55 |
Decimal places in $RW_k$ in [MAR21.92] | sa.vega.rw.rounding-dp | 4 |
$\alpha$ in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |