FRTB Accelerator Cubes GuideIMARiskFactors
| Store Field | Key | IsVector | CanBeNull | Type | Cube Field |
|---|---|---|---|---|---|
| RiskFactor | Y | String | Y : [Risk].[RiskFactor] | ||
| RiskClass | Y | String | Y : [Risk].[RiskClass] | ||
| NMRF | String(“N”) | Y : [Risk].[Model.NMRF] | |||
| Idiosyncratic | String | Y : [Risk].[Idiosyncratic] | |||
| Ccy | String | Y : [Risk].[Currency] | |||
| AsOfDate | Y | Date[yyyy-mm-dd] | N - See field in referencing store (IMATrades) |