FRTB Accelerator Cubes GuideCRIF
These are the CRIF file data model mappings for FX. For a description of the FX data model used in the accelerator, see FX 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 currency pair) if not provided. |
| RiskType | FX_DELTA, FX_VEGA, FX_CURVATURE | |
| Qualifier | Currency / Currency Pair | The name of the commodity |
| Label1 | Option Maturity / Risk Weight | * Vega: option maturity * Curvature: risk weight |
| 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: The configuration option crif-reporting-currency is used to specify the reporting currency.