Expected Shortfall PL Trade

This file contains input fields for various risk scenarios, liquidity horizons and risk classes, used to calculate the Expected shortfall.  There should be one file per risk class and an additional file that contains all trades.

File pattern match

The pattern match for the Expected Shortfall PL Trade file is: **/IMA_*_Trades*.csv*

For information on the glob patterns used and how to customise them, see Note on glob file pattern matching

Field usage

Field

Field Type

Description

DataSet

Alphanumeric String

The data set to which the entry belongs. The following different values are possible:

  • “Full Set Current”: data for the last 12 months
  • “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
  • “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months

Note:For non-modellable trades, this value should be blank.

TradeId

Alphanumeric String

The trade Id

RiskFactor

Alphanumeric String

The risk factor

Note: This is used only for non-modellable trades, and should be blank for modellable trades.

RiskClass

Alphanumeric 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.

LiquidityHorizon

Integer

The Liquidity Horizon in days: 10, 20, 40, 60 or 120

Note: For non-modellable trades, this value should be blank.

To ensure correct results, if a particular Liquidity Horizon is specified, then all lower Liquidity Horizons must also be included. So, for example, for Trade Id and Risk Class, if 40 is available, then 20 and 10 must be available as well.

Currency

Alphanumeric String

The currency in which the PnL vector is expressed.

PnL

Double

The PnL vector for 12 months’ worth of data - there is one value per day, which needs to be computed for a liquidity horizon of 10 days in the risk engine - the values are separated by a semi-colon. This is effectively an extra ‘PnL vector Liquidity Horizon’ column to use as the reference into the new PnL Vector store. This new column will be copied from the existing Liquidity Horizon column for lines in the input files where PnL vectors exist. Then once the file is loaded (or transaction complete), a second pass will fill in the gaps by adding facts with missing Liquidity Horizons and existing PnL vectors. The advantage gained from this is that ‘Liquidity Horizon gaps’ do not need to be filled any more.

AsOfDate

Date‘YYYY-MM-DD’

Timestamp (at close of business) for the data.