Navigation :
IMARiskFactors
| Store Field |
Key |
CanBeNull |
Type |
Cube Field |
Description |
| RiskFactor |
Y |
|
String |
[Risk].[RiskFactor] |
The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. |
| RiskClass |
Y |
|
String |
[Risk].[RiskClass] |
The risk class, which will be one of the following: - GIRR
- CSR
- Equity
- Commodity
- FX
- allin
For non-modellable, non-idiosyncratic trades, this value should be blank. |
| NMRF |
|
|
String(“N”) |
[Risk].[Model.NMRF] |
NMRF stands for ‘Non-Modellable Risk Factor’ – it is a flag set to ‘N’ for modellable risk factors and ‘Y’ for non-modellable risk factors. |
| Idiosyncratic |
|
|
String |
[Risk].[Idiosyncratic] |
An optional field, indicating whether or not the Non Modellable Risk Factor is Idiosyncratic. |
| Ccy |
|
|
String |
[Risk].[Currency] |
Currency of the Risk Factor. |
| AsOfDate |
Y |
|
LOCALDATE[yyyy-mm-dd] |
See field in referencing store (IMATrades) |
Timestamp (at close of business) for the data. |