Sensitivity Scaling

The Sensitivity Scaling.csv file specifies the SBM sensitivity scaling by category. For example, the underwriting scaling for CRR2. It is loaded into the SensitivityScaling store.

For details see Underwriting Positions.

File format

Field name	Description
Category	The category used to specify the scale factor
Scale Factor	The scale factor applied to the SBM sensitivities
Start Date	The start date that the parameter takes effect
ParameterSet	The parameter set to which the parameter belongs (default = BCBS)

File values

Category	Scale Factor	Start Date	ParameterSet
Business Day 0	0	2016-01-01	CRR2
Business Day 1	0.1	2016-01-01	CRR2
Business Day 2	0.25	2016-01-01	CRR2
Business Day 3	0.25	2016-01-01	CRR2
Business Day 4	0.50	2016-01-01	CRR2
Business Day 5	0.75	2016-01-01	CRR2