Multiplier

Download sample file: Multiplier.csv

Backtesting dependent multiplier (see [MAR32.9]).

This Multiplier file type is identified using the pattern: **/Multiplier.csv (as specified by multiplier.file-pattern). This file is loaded using the IMAMultiplier topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

Field Key Null FieldType Description Example
NumExceptions Y N Integer The number of exceptions encountered in the backtesting of the bank’s daily VaR.
Multiplier N N Double The multiplier used in the calculation of the aggregated charge associated with approved desks (see [MAR33.41] and [MAR33.42]).
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
ParameterSet Y Y String The parameter set to which the multiplier belongs (default = BCBS). BCBS