LiquidityHorizons

The LiquidityHorizons.csv file provides a list of liquidity horizons for IMA IMCC calculations from [MAR33.4].

File format

Field name Description
Index The number of the liquidity horizon
Liquidity Horizon The liquidity horizon
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

Index Liquidity Horizon Date ParameterSet
1 10 2016-01-01
2 20 2016-01-01
3 40 2016-01-01
4 60 2016-01-01
5 120 2016-01-01