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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.
| 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 |
|