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:
- Loaded into the IMA Summary cube
- Does not contain trade-level data
- Intended for the historical averages
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. See the Topic Aliases table for an understanding of the topic aliases associated with each 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:
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:
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. |