GIRR_Delta_Weightings

The GIRR_Delta_Weightings.csv file provides the GIRR Delta risk weights. It is loaded into the GIRRDeltaWeighting store.

File format

Field name Description
FRTB SA Vertex The GIRR Delta Vertex
FRTB SA Risk weight The GIRR Delta risk weight for the vertex
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

FRTB SA Vertex FRTB SA Risk weight Date ParameterSet
0.25 0.017 2016-01-01
0.5 0.017 2016-01-01
1 0.016 2016-01-01
2 0.013 2016-01-01
3 0.012 2016-01-01
5 0.011 2016-01-01
10 0.011 2016-01-01
15 0.011 2016-01-01
20 0.011 2016-01-01
30 0.011 2016-01-01
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