FRTB Accelerator Cubes GuideDRC Scenarios
Download sample file: drc-scenarios.csv
This file describes the recovery rates for DRC risk-factors and trades using a linear recovery approach.
This DRC Scenarios file type is identified using the pattern: **/DRC_LINEAR_SCENARIOS*.csv (as specified by drc.linear.scenarios.file-pattern).
This file is loaded using the DRCScenarios topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. | |
| ScenarioId | Y | N | Integer | The numerical id of the scenario. Scenarios are numbered from 1 to the scenario count (inclusive). | |
| ObligorId | Y | N | String | The identifier of the Obligor, which will match the obligor in the trade file. | |
| Seniority | Y | N | String | An indication of the Seniority level of the obligor that the recovery rates are applicable for. | |
| ScenarioRecoveryRate | N | N | Double | A value between 0 and 1 representing the amount of the Notional recovered from the defaulted Obligor in the given scenario. | |
| DefaultDate | N | N | Date ‘YYYY-MM-DD’ | Default date for the scenario. |