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RiskFactorDescription

The RiskFactorDescription store contains the description of risk-factor.

The following table lists the fields in the store that are used for the CSR Sec CTP risk-class. See the RiskFactorDescription store documentation for details on the store.

Data Model Field Store Field Notes
As-Of Date AsOfDate
Risk Factor Name Risk Factor
Risk Class RiskClass “CSR Sec CTP”
Risk Measure Risk Measure “Delta”, “Vega”, or “Curvature”
Underlying Name Underlying
Curve Type Risk Factor Type “Bond” or “CDS”