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Risk Factors

Download sample file: IMARiskFactors.csv

This file describes the IMA risk-factors.

This Risk Factors file type is identified using the pattern: **/IMARiskFactors*.csv (as specified by ima.risk-factors.file-pattern). This file is loaded using the IMARiskFactors topic.

Modellable risk-factors do not need to be listed in this file. However, non-modellable risk-factors need to have the NMRF flag set.

Field Key Null FieldType Description Example
RiskFactor Y Y String The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. It is optional for modellable risk-factors and required for non-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 trades, this value should be blank.
NMRF N Y ‘Y’ or ‘N’ NMRF stands for ‘Non-Modellable Risk Factor’ – it is a flag set to ‘N’ for modellable risk factors and ‘Y’ for non-modellable risk factors.
Idiosyncratic N Y ‘Y’ or ‘N’ Indicates whether or not the Non Modellable Risk Factor is Idiosyncratic
(unused) N Y Field is ignored.
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
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