• Login
  • Privacy Policy
  • Home
  • Capital/FRTB
    • Models
      • Margin Period of Risk
        • Andersen Pykhtin Sokol
        • Classical
    • Papers
      • About
        • Home
        • Capital/FRTB
          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
          • FRTB Basic Approach for CVA (BA-CVA, BCBS 325)
          • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
          • FRTB Internal Models Approach for the Trading Book (IMA-TB, BCBS 352)
        • Models
          • Margin Period of Risk
        • Papers
          • Andersen Pykhtin Sokol 2016
        • About
          • Copyright
          • License
          • Register
        1. Models
          • Privacy Policy
          • Home
          • Capital/FRTB
          • Models
          • Papers
          • About

        Margin Period of Risk

        • Overview
        • Implementation
        • Data
        Data
        • ClMprExposureTestSettingsData.cs
        1. Data

        ClMprExposureTestSettingsData.cs

        View without annotations or download ClMprExposureTestSettingsData.cs. Any downloads from this site are subject to ModVal license.

        Class ClMprTestSettingsBuilder

        Test settings for the MPR exposure model.

        Property PillarsType

        Type of interpolation pillars used for MPR exposure tests.

        public ClMprExposureTestPillarsType PillarsType { get; set; }

        Property SubtractInitialMarginFromExposure

        Subtract a simplified estimate for the initial margin from exposure.

        public ClBool SubtractInitialMarginFromExposure { get; set; }
        Copyright © 2025 ModVal.org | Privacy Policy

        Want to know more?

        Get our brochure on Model Validation Services and get insights:

        • Advantages of model validation
        • Global regulatory standard coverage
        • Benefits of the structured approach
        • Validation steps
        • Test types
        • Model documentation
        Invalid email
        I agree to ModVal.org Privacy Policy *
        Please agree
        I hereby give ModVal.org permission to contact me by email *
        Please permit