RISK_FACTOR_DESCRIPTION_OVERRIDES

The RISK_FACTOR_DESCRIPTION_OVERRIDES table contains the Override definitions for the Risk Factor Descriptions.

Column Name Type Not Null
AS_OF_DATE DATE Y
RISK_FACTOR STRING Y
RISK_CLASS STRING Y
RISK_MEASURE STRING Y
PARAMETER_SET STRING Y
RISK_FACTOR_TYPE STRING
COMMODITY_LOCATION STRING
SENIORITY STRING
MATURITY STRING
ZERO_RISK_WEIGHT STRING

Unique Key

Columns
AS_OF_DATE
RISK_FACTOR
RISK_CLASS
RISK_MEASURE
PARAMETER_SET

Override Base Table

The base table for these overrides is the Risk Factor Description table. To define Overrides you must add facts to the base table. For details on why this is required, see Overrides With DirectQuery.

Inject Base Table

For each override, you must generate multiple entries in the Risk Factor Description table with the following structure.

Override Parameter Risk Factor Description Table Field
OVERRIDE KEY FIELD RISK_FACTOR
OVERRIDE DATE FIELD AS_OF_DATE

Where:

Create Base Store Tuples

See the Create Override Tuples section for an example of how to create the override tuples for the following override fields. These are the fields we want to override in the base override table, in this case the Risk Factor Description Table.

Override Table
PARAMETER_SET
RISK_FACTOR_TYPE
COMMODITY_LOCATION
SENIORITY
MATURITY
ZERO_RISK_WEIGHT

These fields form an intermediate table containing the Override’s base store fields and will be merged back into the Override base table: Risk Factor Description.

Map Override Fields to Base Table Fields

Once you create your tuples for each override field, you can then map the tuples back to the base store using the following relationship:

Override Table Risk Factor Description Field Note
OVERRIDE KEY FIELD RISK_FACTOR
OVERRIDE DATE FIELD AS_OF_DATE
PARAMETER_SET No mapping exists
RISK_FACTOR_TYPE RISK_FACTOR_TYPE
COMMODITY_LOCATION COMMODITY_LOCATION
SENIORITY SENIORITY
MATURITY MATURITY
ZERO_RISK_WEIGHT ZERO_RISK_WEIGHT
RISK_CLASS No mapping exists
RISK_MEASURE No mapping exists
UNDERLYING No mapping exists
UNDERLYING_FXRISK_CCY No mapping exists
UNDERLYING_MATURITY No mapping exists