Multiplier

The Multiplier.csv file provides the IMA Multiplication factor based on the number of backtesting exceptions. It is loaded into the IMAMultiplier store.

File format

Field name	Description
NumExceptions	The number of exceptions encountered in the backtesting of the bank’s daily VaR.
Multiplier	The multiplier used in the calculation of the aggregated charge associated with approved desks (see [MAR33.41] and [MAR33.42]).
Date	The start date that the parameter takes effect.
ParameterSet	The parameter set to which the parameter belongs (default = BCBS).

File values

NumExceptions	Multiplier	Date	ParameterSet
0	1.5	2016-01-01
1	1.5	2016-01-01
2	1.5	2016-01-01
3	1.5	2016-01-01
4	1.5	2016-01-01
5	1.7	2016-01-01
6	1.76	2016-01-01
7	1.83	2016-01-01
8	1.88	2016-01-01
9	1.92	2016-01-01
10	2.0	2016-01-01