FRTB Accelerator Cubes GuideCRIF
These are the CRIF file data model mappings for Equity. For a description of the Equity data model used in the accelerator, see Equity Data Model (Core)
See CRIF File Formats for details of the file format.
| Column | Data Model | Description |
|---|---|---|
| Risk Factor | Risk Factor | The [MAR10.9] Risk Factor minus the tenor or maturities. This field is optional and will be generated (based on the equity (issuer) name) if not provided. |
| RiskType | EQ_DELTA, EQ_VEGA, EQ_CURVATURE | |
| Qualifier | Equity Name | The name of the equity (issuer) |
| Bucket | Equity Bucket | 1-13 |
| Label1 | Option Maturity / Risk Weight | * Delta: tenor * Vega: option maturity * Curvature: risk weight |
| Label2 | Equity Type | * Delta: “SPOT” or “REPO” |
| Amount | Sensitivity / Shock Up/Down | The amount of the sensitivity, in the units of the currency specified in the “AmountCurrency” field. * Delta and Vega: sensitivity from [MAR21.4](1) * Curvature: PV shift (delta stripped) |
| AmountCurrency | Sensitivity Currency | The currency used in the “Amount” field |
Note: To avoid cases where the same equity name is used for multiple buckets, the bucket number is appended to the equity name.