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IMA Summary

Download sample file: IMA_Summary.csv

This file contains input fields for various risk scenarios, liquidity horizons and risk classes, used to calculate the Expected shortfall.

This file is similar to the Expected Shortfall PL Trade file, but with these differences:

This IMA Summary file type is identified using the pattern: **/IMA_Summary*.csv (as specified by ima.summary.file-pattern). This file is loaded using the IMA_Summary topic.

Field Key Null FieldType Description Example
DataSet Y Y String

The data set to which the entry belongs.

The following different values are possible:

  • “Full Set Current”: data for the last 12 months
  • “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
  • “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months

Note: For non-modellable risk-factors, this value should be blank.
Book Y N String The book Id
LegalEntity Y N String The legal entity Id
RiskFactor Y Y String

The risk factor

Note: This is required for non-modellable risk-factors, but may be blank for modellable risk-factors.
RiskClass Y N String

The risk class, which will be one of the following:

  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin

Note: For non-modellable, non-idiosyncratic risk-factors, this value should be blank.
LiquidityHorizon Y Y Integer

The Liquidity Horizon in days: 10, 20, 40, 60, or 120

Note: For non-modellable risk-factors, this value should be blank (though it may be set to 10 without causing any problems).

The ETL will ensure that there are no gaps in the liquidity horizon. If there is a gap in the file, the ETL will copy the liquidity horizon from the next highest P&L vector. For example, if a liquidity horizon of 40 is supplied, but 20 and 10 are not included, then the gap-filling will copy the P&L vector from the liquidity horizon of 40 to 20 and 10.
Currency N N String The currency in which the PnL vector is expressed.
PnL N N Double The PnL vector for 12 months' worth of data - there is one value per day, which needs to be computed for a liquidity horizon of 10 days in the risk engine - the values are separated by a semi-colon. This is effectively an extra PnL vector Liquidity Horizon column to use as the reference into the new PnL Vector store. This new column will be copied from the existing Liquidity Horizon column for lines in the input files where PnL vectors exist. Then once the file is loaded (or transaction complete), a second pass will fill in the gaps by adding facts with missing Liquidity Horizons and existing PnL vectors. The advantage gained from this is that ‘Liquidity Horizon gaps’ do not need to be filled any more.
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
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