File format
| 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 |