Risk Types

Download sample file: risk-types.csv

Declaration of risk types, mapping to risk class and sensitivity types, and domains

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Risk value date 2019-12-01
RiskType Y N String Must list all SIMM risk types for the SIMM domain. Can include other risk types for the non-SIMM domains (custom domains) Risk_IRCurve
RiskClass N N String Risk class for a risk type. Expected values for the SIMM risk types: commodity; credit non-qualifying; credit qualifying; equity; foreign exchange; interest rate interest rate
SensitivityType N N String Type of sensitivity for a risk type. Expected values for the SIMM risk types: delta, vega. delta
DefaultDomain N N String Domain for which a risk type belongs to. Must be ‘SIMM’ for SIMM risk types SIMM

See also