This Risk Factors file type is identified using the pattern: **/IMARiskFactors*.csv (as specified by ima.risk-factors.file-pattern).
This file is loaded using the IMARiskFactors topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
IMARiskFactorsHistorical Topic
The IMARiskFactorsHistorical topic has the same file format as IMARiskFactors.csv. The difference is the file location.
When loading the IMARiskFactors topic, the as-of date is provided in the scope and the file will be loaded from the corresponding directory.
When loading the IMARiskFactorsHistorical topic, no as-of date is provided in the scope and all IMARiskFactors.csv files from the historical directory are loaded.
Modellable risk-factors do not need to be listed in this file. However, non-modellable risk-factors need to have the NMRF flag set.
Field
Key
Null
FieldType
Description
Example
RiskFactor
Y
Y
String
The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. It is optional for modellable risk-factors and required for non-modellable risk-factors.
RiskClass
Y
N
String
The risk class, which will be one of the following:
GIRR,
CSR,
Equity,
Commodity,
FX,
allin
Note: For non-modellable, non-idiosyncratic trades, this value should be blank.
NMRF
N
Y
‘Y’ or ‘N’
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
N
Y
‘Y’ or ‘N’
Indicates whether or not the Non Modellable Risk Factor is Idiosyncratic