Navigation :
VegaRiskWeights
| Store Field |
Key |
CanBeNull |
Type |
Cube Field |
Description |
| RiskClass |
Y |
N |
String |
|
The SBM risk class. |
| SubType |
Y |
N |
String |
|
For “Equity”, the market cap corresponding to the Equity bucket (“Large” or “Small”). |
| LiquidityHorizon |
N |
N |
Double |
|
The liquidity horizon used to calculate the Vega risk weight. |
| AsOfDate |
Y |
N |
LOCALDATE[yyyy-mm-dd] |
|
The start date that the parameter takes effect. |
| ParameterSet |
Y |
N |
String |
|
The parameter set to which the parameter belongs (default = BCBS). |