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GIRR_Delta_Weightings
The GIRR_Delta_Weightings.csv file provides the GIRR Delta risk weights. It is loaded into the GIRRDeltaWeighting store.
| Field name |
Description |
| FRTB SA Vertex |
The GIRR Delta Vertex |
| FRTB SA Risk weight |
The GIRR Delta risk weight for the vertex |
| Date |
The start date that the parameter takes effect |
| ParameterSet |
The parameter set to which the parameter belongs (default = BCBS) |
File values
| FRTB SA Vertex |
FRTB SA Risk weight |
Date |
ParameterSet |
| 0.25 |
0.017 |
2016-01-01 |
|
| 0.5 |
0.017 |
2016-01-01 |
|
| 1 |
0.016 |
2016-01-01 |
|
| 2 |
0.013 |
2016-01-01 |
|
| 3 |
0.012 |
2016-01-01 |
|
| 5 |
0.011 |
2016-01-01 |
|
| 10 |
0.011 |
2016-01-01 |
|
| 15 |
0.011 |
2016-01-01 |
|
| 20 |
0.011 |
2016-01-01 |
|
| 30 |
0.011 |
2016-01-01 |
|