Parameters - Atoti Hub

BaseCorr_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_BaseCorr
Notation	$RW$

Commodity_Conc


Description	Concentration threshold parameter
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

Commodity_Corr


Description	Commodity risk factors correlation
Notation	$\rho_{k,l}$
Required hierarchies	RegulatoryBuckets

Commodity_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_Commodity
Notation	$RW$
Required hierarchies	RegulatoryBuckets

CommodityVol_Conc


Description	Concentration threshold parameter
Notation	$VT_b$
Required hierarchies	RegulatoryBuckets

CommodityVol_HVR


Description	Historical volatility ration for Risk Class Commodity

CommodityVol_Weight


Description	Vega risk weight applied to the sensitivities of Risk Type Risk_CommodityVol
Notation	$VRW$

CreditNonQ_ConcentrationThreshold_Delta


Description	Concentration threshold parameter
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

CreditNonQ_ConcentrationThreshold_Vega


Description	Concentration threshold parameter
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

CreditNonQ_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_CreditNonQ
Notation	$RW$
Required hierarchies	RegulatoryBuckets

CreditQ_ConcentrationThreshold_Delta


Description	Concentration threshold parameter
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

CreditQ_ConcentrationThreshold_Vega


Description	Concentration threshold parameter
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

CreditQ_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_CreditQ
Notation	$RW$
Required hierarchies	RegulatoryBuckets

CreditVol_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_CreditVol
Notation	$RW$
Required hierarchies	RegulatoryBuckets

CreditVolNonQ_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_CreditVolNonQ
Notation	$RW$
Required hierarchies	RegulatoryBuckets

Equity_Conc


Description	Concentration threshold parameter
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

Equity_Corr


Description	Equity risk factors correlation
Notation	$\rho_{k,l}$
Required hierarchies	RegulatoryBuckets

Equity_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_Equity
Notation	$RW$
Required hierarchies	RegulatoryBuckets

EquityVol_Conc


Description	Concentration threshold parameter
Notation	$VT_b$
Required hierarchies	RegulatoryBuckets

EquityVol_HVR


Description	Historical volatility ration for Risk Class Equity

EquityVol_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_EquityVol
Notation	$RW$
Required hierarchies	RegulatoryBuckets

FX_Conc


Description	Concentration threshold for Risk_FX
Notation	$T_b$
Required hierarchies	Regulatory Risk Factors

FX_Corr


Description	Commodity risk factors correlation
Notation	$\rho_{k,l}$
Required hierarchies	RegulatoryBuckets

FX_Weight_Regular_Regular


Description	Risk weight applied to the sensitivities of Risk Type Risk_FX having Regular volatility / Regular volatility currencies in the qualifier
Notation	$RW$

FXVol_Conc


Description	Concentration threshold for Risk_FXVol
Notation	$VT_k$
Required hierarchies	Regulatory Risk Factors

FXVol_HVR


Description	Historical volatility ration for Risk Class FX

FXVol_Weight


Description	Vega risk weight applied to the sensitivities of Risk Type Risk_FXVol
Notation	$VRW$

Inflation_Corr


Description	Risk factors correlation when one of the risk factors is inflation
Notation	$\rho_{k,l}$

Inflation_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_Inflation
Notation	$RW$

IR_CorrOuter


Description	Cross-bucket correlation for interest rates
Notation	$\gamma_{b,c}$

IRCurve_Conc


Description	Concentration threshold for interest rate delta
Notation	$T_b$
Required hierarchies	RegulatoryBuckets

IRCurve_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_IRCurve
Notation	$RW$
Required hierarchies	RegulatoryBuckets, Vertices

IRSubCurveCorr


Description	Subcurve correlation multiplier for interest rates
Notation	$\phi_{i,j}$

IRVol_Conc


Description	Concentration threshold parameter
Notation	$VT_b$
Required hierarchies	RegulatoryBuckets

IRVol_HVR


Description	Historical volatility ration for Risk Class Interest Rates

IRVol_Weight


Description	Vega risk weight applied to the interest rate sensitivities
Notation	$VRW$

XCcyBasis_Corr


Description	Risk factors correlation when one of the risk factors is xccy basis (but no inflation in the pair)
Notation	$\rho_{k,l}$

XCcyBasis_Weight


Description	Risk weight applied to the sensitivities of Risk Type Risk_XCcyBasis
Notation	$RW$

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