Default_Risk_Weights

The Default_Risk_Weights.csv file provides the default risk weights for DRC non-Sec. It is loaded into the DRCWeight store.

File format

Field name Description
Rating The credit quality category
Default risk weight The DRC non-Sec default risk weight
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

Rating Default risk weight Date ParameterSet
AAA 0.005 2016-01-01
AA 0.02 2016-01-01
A 0.03 2016-01-01
BBB 0.06 2016-01-01
BB 0.15 2016-01-01
B 0.3 2016-01-01
CCC 0.5 2016-01-01
UNRATED 0.15 2016-01-01
DEFAULTED 1 2016-01-01
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