Sensitivity Scaling

The Sensitivity Scaling.csv file specifies the SBM sensitivity scaling by category. For example, the underwriting scaling for CRR2. It is loaded into the SensitivityScaling store.

File format

Field name Description
Category The category used to specify the scale factor
Scale Factor The scale factor applied to the SBM sensitivities
Start Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

Category Scale Factor Start Date ParameterSet
Business Day 0 0 2016-01-01 CRR2
Business Day 1 0.1 2016-01-01 CRR2
Business Day 2 0.25 2016-01-01 CRR2
Business Day 3 0.25 2016-01-01 CRR2
Business Day 4 0.50 2016-01-01 CRR2
Business Day 5 0.75 2016-01-01 CRR2
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