Core Configuration Files

The following parameters files are used in the ActiveViam FRTB solution calculations:

• Adjunct_Currencies.csv
• Commodity_BucketRiskWeights.csv
• Commodity_IntraBucketCorrelations.csv
• CSR_BucketsRiskWeights_NONSEC.csv
• CSR_BucketsRiskWeights_SECCTP.csv
• CSR_BucketsRiskWeights_SECNONCTP.csv
• CSRNS_Bucket_Correlations.csv
• Default_Risk_Weights.csv
• EQTY_BucketsRiskWeights.csv
• ERBA_Risk_Weight.csv
• FRTBParameters.csv
• FX_Special_Crosses.csv
• GIRR_Delta_Weightings.csv
• GIRR_Major_Currency.csv
• Instrument_LGD.csv
• LiquidityHorizons.csv
• Obligor_Risk_Weights.csv
• Option_Residual_Maturity_Vertices.csv
• ParameterSet.csv
• Vega_Liquidity_Horizons.csv
• Vertices.csv

For further details, see the Configuration chapter in the FRTB Accelerator User Guide: