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Crypto 2a Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
| Parameter |
Parameter Name |
Default Value |
| Delta risk weight in [SCO60.73] |
sa.crypto.group-2a.delta.risk-weight |
1 |
| Vega risk weight in [SCO60.73] |
sa.crypto.group-2a.vega.risk-weight |
1 |
| Delta $\rho_{kl}$ in [SCO60.76] |
sa.crypto.group-2a.delta.rho-correlation |
0.94 |
| Vega $\rho_{kl}$ in [SCO60.76] |
sa.crypto.group-2a.vega.rho-correlation |
0.94 |
| Curvature risk weight in [SCO60.81] |
sa.crypto.group-2a.vega.risk-weight |
1 |