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Expected Shortfall PL Trade

Download sample file: IMA_CSR_Trades.csv

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

For summary data used to calculate the historical averages, see IMA Summary.

This Expected Shortfall PL Trade file type is identified using the pattern: **/IMA_*_Trades*.csv (as specified by ima.trades.file-pattern). This file is loaded using the IMA_Trades 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:

  • “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.
TradeId Y N String The trade 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
LiquidityHorizon Y Y String

A String containing a list of integer values with ‘;’ as separator. 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).

You have to ensure yourself that there is no gap on the liquidity horizon. For instance an horizon of 40 will also apply on 10 and 20 so you must specify ‘40;20;10’.
Currency N N String The currency in which the PnL vector is expressed.
PV N N Double Vector

The vector of PV values calculated for each scenario. The scenarios are calibrated to the 12-month stress or current periods.

For modellable risk-factors, these PV vectors are aggregated across DataSet, RiskClass, and Liquidity Horizon while for NMRFs they are aggregated across the risk-factor. Hence the list of scenarios must be consistent for all PV vectors with these fields in common.

The P&L vector is obtained by subtracting the Base PV from each value in this vector.
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
Base PV N Y Double The PV for the base scenario. If this value is not provided, then the PV vector becomes the P&L vector.