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JTD Exposure
The JTD Exposure captures the jump-to-default risk that may not be captured by credit spread shocks under the SBM.
| Field |
Key |
Description |
| As-of Date |
Y |
Timestamp (at close of business) for the data (T-1) |
| Trade ID |
Y |
A unique identifier for the trade (or position) |
| Risk Factor Name |
Y |
A unique identifier for the risk-factor |
| Risk Class |
Y |
“DRC Sec non-CTP” |
| Risk Measure |
Y |
“DRC” |
| Direction |
|
Is the exposure “long” or “short” |
| Market Value |
|
The market value of the exposure (JTD) |