Margining
For a description of the Margining risk measure please see the Margining page in the Analytic Reference.
Configuration
The configuration files that affect CVA calculations are:
| Configuration File | Details |
| TaskList | A task of type Margining must be set up in the task list. |
| Assumptions | Base assumptions common to all calculations. |
| VarDefinitions | Confidence and horizon plus the choice of methodology (historic simulation or monte carlo) and associated settings such as the number of historic or random scenarios respectively. |
| CreditCalculations | A calculation specifies a task name, counterparty/pool pair and CreditDefinition. Results are generated for each calculation specified. The counterparty and pool can use wildcards to allow many simulations to be specified by a single calculation. |
Note: Margining is calculated by running a counterparty portfolio through a VaR calculation, hence the mixed usage of VarDefinition and CreditCalculation configuration files.
Definition Files
See the section VaR & Expected Shortfall for details of settings.