Vega_Liquidity_Horizons

The Vega_Liquidity_Horizons.csv file provides the liquidity horizons used for calculating the Vega risk weights. It is loaded into the VegaRiskWeights store.

File format

Field name Description
FRTB SA RiskClass The SBM risk class
Risk Class SubType For “Equity”, the market cap corresponding to the Equity bucket (“Large” or “Small”)
FRTB SA Vega LH The liquidity horizon used to calcualte the Vega risk weight
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

FRTB SA RiskClass Risk Class SubType FRTB SA Vega LH Date ParameterSet
GIRR 60 2016-01-01
Equity Large 20 2016-01-01
Equity Small 60 2016-01-01
FX 40 2016-01-01
Commodity 120 2016-01-01
CSR non-Sec 120 2016-01-01
CSR Sec CTP 120 2016-01-01
CSR Sec non-CTP 120 2016-01-01