FRTB Accelerator Cubes GuideRisk Factor [MAR10.9]
The risk-factors are identified by:
| Key Field | Description |
|---|---|
| As-of Date | Timestamp (at close of business) for the data (T-1) |
| Risk Factor Name | A unique identifier for the risk-factor (not including vertices) |
| Risk Class | “Commodity” |
| Risk Measure | “Delta”, “Vega”, or “Curvature” |
| Sensitivity Tenor | The time to maturity of the traded instrument (Delta) |
| Option Maturity | The maturity of the option (Vega) |
For Delta, the risk-factors have the following properties:
| Property Field | Description |
|---|---|
| Commodity Name (Underlying) | Name of the commodity. This name includes the distinctions described in [MAR21.84]. |
| Location | Delivery location of the commodity. |
For Vega and Curvature, the risk-factor is the same as the underlying.
Implementation notes (Vectors of vertices):
- The risk-factor name spans all tenors/maturities, so represents multiple [MAR10.9] risk-factors.
- In the input files (default file format), multiple vertices and sensitivities may either be provided on the same row or different rows.
- In the datastore, we use vectors to store the sensitivities for all tenors.
- In the cubes, we use analysis hierarchies to expand the vectors.