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