FRTB Accelerator Cubes GuideRisk Factors
Download sample file: risk-factors.csv
This file describes the IMA risk-factors.
This Risk Factors file type is identified using the pattern: **/IMARiskFactors*.csv (as specified by ima.risk-factors.file-pattern).
This file is loaded using the IMARiskFactors topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| RiskFactor | Y | Y | String | The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. It is optional for modellable risk-factors and required for non-modellable risk-factors. | |
| RiskClass | Y | N | String | The risk class, which will be one of the following:
Note: For non-modellable, non-idiosyncratic trades, this value should be blank. |
|
| NMRF | N | Y | ‘Y’ or ‘N’ | NMRF stands for ‘Non-Modellable Risk Factor’ – it is a flag set to ‘N’ for modellable risk factors and ‘Y’ for non-modellable risk factors. | |
| Idiosyncratic | N | Y | ‘Y’ or ‘N’ | Indicates whether or not the Non Modellable Risk Factor is Idiosyncratic | |
| (unused) | N | Y | Field is ignored. | ||
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |
Modellable risk-factors do not need to be listed in this file. However, non-modellable risk-factors need to have the NMRF flag set.