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[RegulatoryBuckets].[RegulatoryBuckets]
| Description |
Bucket used in variance covariance calculations. It matches the Bucket CRIF field for equity, commodity, credit risk classes. |
| Dimension |
RegulatoryBuckets |
| Hierarchy |
RegulatoryBuckets |
| Levels |
[ALL, RegulatoryBucket] |
The regulatory (aggregation) buckets are defined as follows:
- For interest rate risk class, bucket is currency delivered in the Qualifier field.
- For foreign exchange, all sensitivities are place into a single bucket.
- For risk type Risk_BaseCorr, all sensitivities are place into a single bucket.
- In all other cases: bucket is provided in the input file.
See also