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Default_Risk_Weights
The Default_Risk_Weights.csv file provides the default risk weights for DRC non-Sec. It is loaded into the DRCWeight store.
| Field name |
Description |
| Rating |
The credit quality category |
| Default risk weight |
The DRC non-Sec default risk weight |
| Date |
The start date that the parameter takes effect |
| ParameterSet |
The parameter set to which the parameter belongs (default = BCBS) |
File values
| Rating |
Default risk weight |
Date |
ParameterSet |
| AAA |
0.005 |
2016-01-01 |
|
| AA |
0.02 |
2016-01-01 |
|
| A |
0.03 |
2016-01-01 |
|
| BBB |
0.06 |
2016-01-01 |
|
| BB |
0.15 |
2016-01-01 |
|
| B |
0.3 |
2016-01-01 |
|
| CCC |
0.5 |
2016-01-01 |
|
| UNRATED |
0.15 |
2016-01-01 |
|
| DEFAULTED |
1 |
2016-01-01 |
|