Navigation :
test ../../../../../../ test about.html
About
test ../../../../../../ test about/qis-quick-start_qisonly.html
- Quick Start
test ../../../../../../ test input-files.html
Input Data
test ../../../../../../ test tutorials.html
Tutorials
test ../../../../../../ test tutorials/how-to-prepare-data-for-qis.html
- How to Prepare Data for QIS
test ../../../../../../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../../../../../../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../../../../../../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../../../../../../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../../../../../../ test interpret-impl/acr.html
-
ACR
test ../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../ test interpret-impl/acr/sa/sa-drc.html
---
SA DRC
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec.html
----
DRC non-Sec
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/interpretation-note.html
----- Interpretation Note
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core.html
-----
Data Model (Core)
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core/jtd-exposure.html
------ JTD Exposure
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core/risk-factor.html
------ Risk Factor
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core/obligor.html
------ Obligor
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/data-model-core/mappings.html
------ Field Mappings
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/calculations.html
-----
Calculations
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-non-sec/configuration-core.html
-----
Configuration (Core)
test ../../../../../../ test interpret-impl/acr/sa/sa-drc/drc-sec-non-ctp.html
----
DRC Sec non-CTP
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SA SBM
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-
test ../../../../../../ test cube.html
Analytics Reference
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Glossary
Risk Factor
The Risk Factor is used (along with the trade ID and as-of date) to identify the JTD Exposures .
However, this field is not used directly in the calculations, instead the Obligor , Seniority , and Maturity fields are used.
This means that multiple Risk Factor Names may be used for the same risk-factor.
Field
Key
Description
As-of Date
Y
Timestamp (at close of business) for the data (T-1)
Risk Factor Name
Y
A name for the risk-factor
Risk Class
Y
“DRC non-Sec”
Risk Measure
Y
“DRC”
Obligor (Underlying)
Name of the obligor
Seniority
Seniority of the exposure to the obligor
Maturity
Maturity of the trade
Zero Risk Weight
Flag indicating if the exposure qualifies for a zero risk-weight