FRTB Accelerator Cubes GuideCRIF
These are the CRIF file data model mappings for GIRR. For a description of the GIRR data model used in the accelerator, see GIRR 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 curve name) if not provided. |
| RiskType | GIRR_DELTA, GIRR_VEGA, or GIRR_CURVATURE | |
| Qualifier | Curve Currency | The currency of the curve |
| Label1 | Sensitivity Tenor / Option Maturity / Risk Weight | * Delta yield curves: Sensitivity Tenor * Delta inflation curves: “INFL” * Delta cross-currency basis curves: “XCCY” * Vega: Option Maturity * Curvature: risk weight |
| Label2 | Curve Name / Underlying Maturity | * Delta: Combined with the currency to produce the Curve Name * Vega yield curves: Underlying Maturity * Vega inflation curves: “INFL” * Vega cross-currency basis curves: “XCCY” |
| 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 |
Notes:
- For yield curves, the curve name is generated by concatenating Label2 and the Qualifier. For example: “OIS EUR” or “Libor3m USD”
- For inflation and cross-currency basis curves, the curve name is generated by concatenating the Qualifier and either Label1 (Delta) or Label2 (Vega). For example: “USD INFL” or “EUR XCCY”.