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