bacva.Sensitivity Properties

R2026b

BA-CVA portfolio sensitivity properties

Since R2026b

A bacva.Sensitivity object represents a single row from a BA-CVA (Basic Approach for Credit Valuation Adjustment) CRIF (Common Risk Interchange Format) file, and contains either a counterparty exposure or a CVA hedge.

The Sensitivities property of a bacva.Portfolio object contains a vector of bacva.Sensitivity objects. You can also create a bacva.Sensitivity object directly using the bacva.Sensitivity function.

Properties

ID — Sensitivity ID

Read-only: string

This property is read-only.

Sensitivity ID, represented as a string.

Model — CVA model type

Read-only: "BA-CVA"

This property is read-only.

CVA model type, represented as "BA-CVA".

RiskType — Risk type

Read-only: string

This property is read-only.

Risk type, represented as a string. Typical values for this property include:

• "BA_EXPOSURE" — Counterparty exposure

• "BA_HEDGE" — CVA hedge (single-name CDS (credit default swap), contingent CDS, or index CDS)

Qualifier — Risk factor qualifier

Read-only: string

This property is read-only.

Risk factor qualifier, represented as a string. The risk factor qualifier identifies a counterparty, currency, or index.

Bucket — Sensitivity bucket

Read-only: string

This property is read-only.

Sensitivity bucket, represented as a string. The value of this property depends on the risk class.

Label1 — Additional qualifier for tenor or risk factor type

Read-only: string

This property is read-only.

Additional qualifier for the tenor or risk factor type, represented as a string.

Label2 — Second additional qualifier for tenor or risk factor type

Read-only: string

This property is read-only.

Second additional qualifier for the tenor or risk factor type, represented as a string. Typical values for this property include:

• "NA" — North American region

• "EU" — European region

• "SA" — South American region

• "Advanced" — Advanced economies

• "Emerging" — Emerging market economies

Label3 — Counterparty group or index identifier

Read-only: string

This property is read-only.

Counterparty group or index identifier, represented as a string.

Amount — Sensitivity amount

Read-only: numeric value

This property is read-only.

Sensitivity amount, represented as a numeric value. The units for this value are determined by the value of the property.

Data Types: double

AmountCurrency — Currency of sensitivity amount

Read-only: string

This property is read-only.

Currency of the sensitivity amount, represented as a string. The string contains the three-letter ISO currency code for the currency of the property.

AmountUSD — Sensitivity amount in USD

Read-only: numeric value

This property is read-only.

Sensitivity amount in USD, represented as a numeric value.

Data Types: double

CreditQuality — Credit quality classification

Read-only: string

This property is read-only.

Credit quality classification, represented as a string.

Version History

Introduced in R2026b