| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the start date for this parameter. 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 parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS | BCBS |
| RiskClass | Y | N | String | Risk classes, or risk types, defined in [MAR50.45]: ‘interest rate’, ‘foreign exchange’, ‘counterparty credit spread’, ‘reference credit spread’, ‘equity’, ‘commodity’ | Commodity |
| RW | N | N | Double | Parameter RW for calculating vega risk weight | 0.55 |
| ParameterC | N | N | Double | Parameter under the square root of vega risk weight formula | 12 |
| Bucket | N | N | String | Bucket number | 4 |
RW - vega
SA
Download sample file: sa-cva-risk-weights-vega.csv
The file is used to set parameter values for computing vega risk weights.