EQTY_BucketsRiskWeights

The EQTY_BucketsRiskWeights.csv file provides the risk weights for Equity Delta. It is loaded into the EquityBucketsRiskWeight store.

File format

Field name Description
Bucket number The Equity bucket (e.g. 1-13)
Risk Weight EQTY Spot The Equity Delta spot risk weight
Risk Weight EQTY Repo The Equity Delta repo risk weight
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)

File values

Bucket number Risk Weight EQTY Spot Risk Weight EQTY Repo Date ParameterSet
1 0.55 0.0055 2016-01-01
2 0.6 0.006 2016-01-01
3 0.45 0.0045 2016-01-01
4 0.55 0.0055 2016-01-01
5 0.3 0.003 2016-01-01
6 0.35 0.0035 2016-01-01
7 0.4 0.004 2016-01-01
8 0.5 0.005 2016-01-01
9 0.7 0.007 2016-01-01
10 0.5 0.005 2016-01-01
11 0.7 0.007 2016-01-01
12 0.15 0.0015 2016-01-01
13 0.25 0.0025 2016-01-01