File format
| Field name | Description |
|---|---|
| NumExceptions | The number of exceptions encountered in the backtesting of the bank’s daily VaR. |
| Multiplier | The multiplier used in the calculation of the aggregated charge associated with approved desks (see [MAR33.41] and [MAR33.42]). |
| Date | The start date that the parameter takes effect. |
| ParameterSet | The parameter set to which the parameter belongs (default = BCBS). |
File values
| NumExceptions | Multiplier | Date | ParameterSet |
|---|---|---|---|
| 0 | 1.5 | 2016-01-01 | |
| 1 | 1.5 | 2016-01-01 | |
| 2 | 1.5 | 2016-01-01 | |
| 3 | 1.5 | 2016-01-01 | |
| 4 | 1.5 | 2016-01-01 | |
| 5 | 1.7 | 2016-01-01 | |
| 6 | 1.76 | 2016-01-01 | |
| 7 | 1.83 | 2016-01-01 | |
| 8 | 1.88 | 2016-01-01 | |
| 9 | 1.92 | 2016-01-01 | |
| 10 | 2.0 | 2016-01-01 |