BA Download sample file: ba-cva-risk-weights.csv The file is used to set risk weights per Sector and Credit quality.Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the start date for this property. Subsequent entries with later dates will apply an end to this date range. | 2018-09-28 |
| ParameterSet | Y | Y | String | Specifies the parameter set to which the RiskWeight belongs | BCBS |
| CreditQuality | Y | N | String | Credit quality of a CVA counterparty or hedge reference name: IG, HY, NR | IG |
| Sector | Y | N | String | Sector of a CVA counterparty or of the hedge reference name | Sovereigns Including Central Banks |
| RiskWeight | N | N | Double | Risk weight as defined in [MAR50.16] of the Basic Approach for CVA | 0.005 |