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Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
| Parameter |
Parameter Name |
Default Value |
| $\rho_{kl}$ in [MAR21.78](1) |
sa.equity.spot-to-repo.correlation |
0.999 |
| $\rho_{kl}$ for Large Market Cap, Emerging Economy buckets in [MAR21.78](2)(a) |
sa.equity.large-emerging-market.correlation |
0.15 |
| $\rho_{kl}$ for Large Market Cap, Advanced Economy buckets in [MAR21.78](2)(b) |
sa.equity.large-advanced.correlation |
0.25 |
| $\rho_{kl}$ for Small Market Cap, Emerging Economy buckets in [MAR21.78](2)(c) |
sa.equity.small-emerging-market.correlation |
0.075 |
| $\rho_{kl}$ for Small Market Cap, Advanced Economy buckets in [MAR21.78](2)(d) |
sa.equity.small-advanced.correlation |
0.125 |
| $\rho_{kl}$ for Index buckets in [MAR21.78](2)(e) |
sa.equity.index.correlation |
0.8 |
| $\rho_{kl}$ multiplier for Spot $\times$ Repo risk-factors in [MAR21.78](4) |
sa.equity.spot-to-repo.different-issuer.correlation |
0.999 |
| $\gamma_{bc}$ between buckets 1-10 in [MAR21.80](1) |
sa.equity.delta.gamma.correlation |
0.15 |
| $\gamma_{bc}$ between index buckets in [MAR21.80](3) |
sa.equity.delta.gamma.index.correlation |
0.75 |
| $\gamma_{bc}$ between buckets in 1-10 and index buckets in [MAR21.80](4) |
sa.equity.delta.gamma.index-cross.correlation |
0.45 |
| $RW_\sigma$ in [MAR21.92] |
sa.vega.rw |
0.55 |
| Decimal places in $RW_k$ in [MAR21.92] |
sa.vega.rw.rounding-dp |
4 |
| $\alpha$ in [MAR21.93](1)(a) |
sa.vega.rho-option-maturity.alpha |
0.01 |