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IMARISK_FACTORS
IMARISK_FACTORS Table Fields
| Column Name |
Type |
Not Null |
Cube Field |
Description |
| RISK_FACTOR |
STRING |
Y |
RiskFactor |
The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. |
| RISK_CLASS |
STRING |
Y |
RiskClass |
The risk class, which will be one of the following: - GIRR
- CSR
- Equity
- Commodity
- FX
- allin
For non-modellable, non-idiosyncratic trades, this value should be blank. |
| NMRF |
STRING |
Y |
Model.NMRF |
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 |
STRING |
Y |
Idiosyncratic |
An optional field, indicating whether or not the Non Modellable Risk Factor is Idiosyncratic. |
| CCY |
STRING |
Y |
Currency |
Currency of the Risk Factor. |
| AS_OF_DATE |
DATE |
Y |
See field in referencing store (IMATrades) |
Timestamp (at close of business) for the data. |
IMARISK_FACTORS Unique Key
| Columns |
| DATA_SET |
| RISK_CLASS |
| LIQUIDITY_HORIZON |
| BASE_CCY |
| COUNTER_CCY |
| AS_OF_DATE |
Incoming Joins
| Source Table |
Source Columns |
Target Columns |
| IMATRADES |
RISK_FACTOR
RISK_CLASS
AS_OF_DATE |
RISK_FACTOR
RISK_CLASS
AS_OF_DATE |