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CSR_BucketsRiskWeights_SECCTP
The CSR_BucketsRiskWeights_SECCTP.csv file provides the risk weights for CSR Sec CTP Delta. It is loaded into the CSRBucketsRiskWeight store.
| Field name |
Description |
| Bucket |
The CSR Sec CTP Bucket (e.g. 1-16) |
| Risk Weight |
The Delta Risk Weight for the bucket |
| Date |
The start date that the parameter takes effect |
| ParameterSet |
The parameter set to which the parameter belongs (default = BCBS) |
File values
| Bucket |
Risk Weight |
Date |
ParameterSet |
| 1 |
0.04 |
2016-01-01 |
|
| 2 |
0.04 |
2016-01-01 |
|
| 3 |
0.08 |
2016-01-01 |
|
| 4 |
0.05 |
2016-01-01 |
|
| 5 |
0.04 |
2016-01-01 |
|
| 6 |
0.03 |
2016-01-01 |
|
| 7 |
0.02 |
2016-01-01 |
|
| 8 |
0.06 |
2016-01-01 |
|
| 9 |
0.13 |
2016-01-01 |
|
| 10 |
0.13 |
2016-01-01 |
|
| 11 |
0.16 |
2016-01-01 |
|
| 12 |
0.1 |
2016-01-01 |
|
| 13 |
0.12 |
2016-01-01 |
|
| 14 |
0.12 |
2016-01-01 |
|
| 15 |
0.12 |
2016-01-01 |
|
| 16 |
0.13 |
2016-01-01 |
|
CRR2 values
| Bucket |
Risk Weight |
Date |
ParameterSet |
| 1 |
0.04 |
2016-01-01 |
|
| 2 |
0.04 |
2016-01-01 |
|
| 3 |
0.04 |
2016-01-01 |
|
| 4 |
0.08 |
2016-01-01 |
|
| 5 |
0.05 |
2016-01-01 |
|
| 6 |
0.04 |
2016-01-01 |
|
| 7 |
0.03 |
2016-01-01 |
|
| 8 |
0.02 |
2016-01-01 |
|
| 9 |
0.03 |
2016-01-01 |
|
| 10 |
0.06 |
2016-01-01 |
|
| 11 |
0.13 |
2016-01-01 |
|
| 12 |
0.13 |
2016-01-01 |
|
| 13 |
0.16 |
2016-01-01 |
|
| 14 |
0.1 |
2016-01-01 |
|
| 15 |
0.12 |
2016-01-01 |
|
| 16 |
0.12 |
2016-01-01 |
|
| 17 |
0.12 |
2016-01-01 |
|
| 18 |
0.13 |
2016-01-01 |
|