RiskFactorDescription
The RiskFactorDescription store contains the description of risk-factor, independent of the underlying.
It is indexed by Risk Factor, RiskClass, Risk Measure, Underlying, and AsOfDate and referenced from the SaSensitivities store by these four fields.
The fields used in this store, and the purpose, depends on the risk-class and risk-measure. See the Implementation and Interpretation Guide for details on each risk-class.
note
For information on Risk Factor construction, see Vectorization.
| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| Risk Factor | Y | String | See field in referencing store (SaSensitivities) | The name of the risk factor | |
| RiskClass | Y | String | See field in referencing store (SaSensitivities) | The risk-class (“GIRR”, “CSR non-Sec”, “CSR Sec non-CTP”, “CSR Sec CTP”, “Equity”, “Commodity”, “FX”, “DRC non-Sec”, “DRC Sec non-CTP”, “RRAO”) | |
| Risk Measure | Y | String | See field in referencing store (SaSensitivities) | The risk-measure (“Delta”, “Vega”, “Curvature”, “DRC”, “RRAO”) | |
| Underlying | Y | String | [Market Data].[Underlying] | The primary component of the risk factor. See datastore references below. | |
| Risk Factor Type | Y | String | [Risk].[Risk Factor Types] | The type of the risk-factor CSR Delta: “Bond” or “CDS” Equity Delta: “Spot” or “Repo” |
|
| CommodityLocation | Y | String | [Risk].[Commodity Location] | Commodity only. Commodity delivery location |
|
| UnderlyingFXRiskCcy | Y | String | [Risk].[FX Counter Currency] | FX only. The counter currency of the risk-factor currency pair. |
|
| Seniority | String | [Default Risk Charge].[DRC Seniority] | Seniority of the exposure (matches values in the seniority description file). | ||
| Maturity | Y | Object | [Default Risk Charge].[DRC Maturity] | The maturity of the trade (e.g. “1D”, “2W”, “12M”, “1Y”, or date “YYYY-MM-DD”). | |
| UnderlyingMaturity | Y | Object | [Risk].[UnderlyingMaturity] Hidden hierarchy used for interpolation | ||
| Zero Risk Weight | Y/N | [Default Risk Charge].[DRC Zero Risk Weight] | Since 3.1.1 Flag indicating if the exposure qualifies for a zero risk-weight (default = N) | ||
| AsOfDate | Y | LOCALDATE[yyyy-mm-dd] | See field in referencing store (SaSensitivities) | Timestamp (at close of business) for the data. |
References:
| Risk Class | Fields Used in Reference | Underlying Store |
|---|---|---|
| GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX | Underlying, RiskClass, and AsOfDate | UnderlyingDescription |
| DRC non-Sec | Underlying, RiskClass, and AsOfDate | Obligor |
| DRC Sec non-CTP | Underlying, RiskClass, and AsOfDate | Tranche |
| RRAO | Underlying, RiskClass, and AsOfDate | RRAO |