Vertices

The Vertices.csv file lists all the vertices used in the SBM risk classes and risk measures. It is loaded into the Vertices store.

File format

Field name Description
Index The number of the vertex
Vertex The maturity vertex
FRTB Risk Class The SBM risk class
Risk Measure The SBM risk measure (“Delta” or “Vega”)
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

Index Vertex FRTB Risk Class Risk Measure Date ParameterSet
0 0.25 GIRR Delta 2016-01-01
1 0.5 GIRR Delta 2016-01-01
2 1 GIRR Delta 2016-01-01
3 2 GIRR Delta 2016-01-01
4 3 GIRR Delta 2016-01-01
5 5 GIRR Delta 2016-01-01
6 10 GIRR Delta 2016-01-01
7 15 GIRR Delta 2016-01-01
8 20 GIRR Delta 2016-01-01
9 30 GIRR Delta 2016-01-01
0 0.5 CSR non-Sec Delta 2016-01-01
1 1 CSR non-Sec Delta 2016-01-01
2 3 CSR non-Sec Delta 2016-01-01
3 5 CSR non-Sec Delta 2016-01-01
4 10 CSR non-Sec Delta 2016-01-01
0 0.5 CSR Sec CTP Delta 2016-01-01
1 1 CSR Sec CTP Delta 2016-01-01
2 3 CSR Sec CTP Delta 2016-01-01
3 5 CSR Sec CTP Delta 2016-01-01
4 10 CSR Sec CTP Delta 2016-01-01
0 0.5 CSR Sec non-CTP Delta 2016-01-01
1 1 CSR Sec non-CTP Delta 2016-01-01
2 3 CSR Sec non-CTP Delta 2016-01-01
3 5 CSR Sec non-CTP Delta 2016-01-01
4 10 CSR Sec non-CTP Delta 2016-01-01
0 0 Commodity Delta 2016-01-01
1 0.25 Commodity Delta 2016-01-01
2 0.5 Commodity Delta 2016-01-01
3 1 Commodity Delta 2016-01-01
4 2 Commodity Delta 2016-01-01
5 3 Commodity Delta 2016-01-01
6 5 Commodity Delta 2016-01-01
7 10 Commodity Delta 2016-01-01
8 15 Commodity Delta 2016-01-01
9 20 Commodity Delta 2016-01-01
10 30 Commodity Delta 2016-01-01
0 0.5 GIRR Vega 2016-01-01
1 1 GIRR Vega 2016-01-01
2 3 GIRR Vega 2016-01-01
3 5 GIRR Vega 2016-01-01
4 10 GIRR Vega 2016-01-01
0 0.5 Equity Vega 2016-01-01
1 1 Equity Vega 2016-01-01
2 3 Equity Vega 2016-01-01
3 5 Equity Vega 2016-01-01
4 10 Equity Vega 2016-01-01
0 0.5 FX Vega 2016-01-01
1 1 FX Vega 2016-01-01
2 3 FX Vega 2016-01-01
3 5 FX Vega 2016-01-01
4 10 FX Vega 2016-01-01
0 0.5 CSR non-Sec Vega 2016-01-01
1 1 CSR non-Sec Vega 2016-01-01
2 3 CSR non-Sec Vega 2016-01-01
3 5 CSR non-Sec Vega 2016-01-01
4 10 CSR non-Sec Vega 2016-01-01
0 0.5 CSR Sec CTP Vega 2016-01-01
1 1 CSR Sec CTP Vega 2016-01-01
2 3 CSR Sec CTP Vega 2016-01-01
3 5 CSR Sec CTP Vega 2016-01-01
4 10 CSR Sec CTP Vega 2016-01-01
0 0.5 CSR Sec non-CTP Vega 2016-01-01
1 1 CSR Sec non-CTP Vega 2016-01-01
2 3 CSR Sec non-CTP Vega 2016-01-01
3 5 CSR Sec non-CTP Vega 2016-01-01
4 10 CSR Sec non-CTP Vega 2016-01-01
0 0.5 Commodity Vega 2016-01-01
1 1 Commodity Vega 2016-01-01
2 3 Commodity Vega 2016-01-01
3 5 Commodity Vega 2016-01-01
4 10 Commodity Vega 2016-01-01
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