Navigation :
test ../../../../../../ test user-ref.html
User & Reference Guide
test ../../../../../../ test getting-started.html
Getting started
test ../../../../../../ test getting-started/using-this-guide.html
- Using this guide
test ../../../../../../ test getting-started/whats-new.html
- What's New
test ../../../../../../ test getting-started/video-walk-throughs.html
- Video walk-throughs
test ../../../../../../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../../../../../../ test getting-started/directquery.html
- DirectQuery
test ../../../../../../ test configuration.html
Configuration files
test ../../../../../../ test datastore.html
Data Stores
test ../../../../../../ test database.html
Database
test ../../../../../../ test input-files.html
Input Data
test ../../../../../../ test tutorials.html
Tutorials
test ../../../../../../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../../../../../../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../../../../../../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../../../../../../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../../../../../../ test interpret-impl/acr.html
-
ACR
test ../../../../../../ test interpret-impl/acr/sa.html
--
SA
test ../../../../../../ test interpret-impl/acr/sa/key-measures-sa_frtbonly.html
--- Key SA Measures
test ../../../../../../ test interpret-impl/acr/sa/sa-drc.html
---
SA DRC
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm.html
---
SA SBM
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/commodity.html
----
Commodity
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-non-sec.html
----
CSR non-Sec
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp.html
----
CSR Sec CTP
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/implementation-note.html
----- Implementation Note
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/data-model-core.html
-----
Data Model (Core)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/calculations.html
-----
Calculations
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/input-files-ref-impl.html
-----
Input Files (Reference Implementation)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/config-files.html
-----
Config Files
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl.html
-----
Datastore (Reference Implementation)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/base.html
------ SaSensitivities
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/risk-factor-desc.html
------ RiskFactorDescription
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/underlying-desc.html
------ UnderlyingDescription
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/delta.html
------ Delta
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/vega.html
------ Vega
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/curv.html
------ Curvature
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/csr-sec-ctp-buckets.html
------ CSRSecCTPBucket
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/datastore-ref-impl/csr-bucket-desc.html
------ CSRBucketDesc
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/cube-ref-impl.html
-----
Cube Schema (Reference Implementation)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-ctp/configuration-core.html
-----
Configuration (Core)
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/csr-sec-non-ctp.html
----
CSR Sec non-CTP
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/equity.html
----
Equity
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/fx.html
----
FX
test ../../../../../../ test interpret-impl/acr/sa/sa-sbm/girr.html
----
GIRR
test ../../../../../../ test interpret-impl/acr/ima.html
--
IMA
test ../../../../../../ test interpret-impl/jurisdictions.html
-
Jurisdictions
test ../../../../../../ test interpret-impl/pl-attribution-tests-and-backtesting.html
-
FRTB P&L Attribution Tests and Backtesting
test ../../../../../../ test interpret-impl/_footer.html
-
test ../../../../../../ test cube.html
Analytics Reference
test ../../../../../../ test dev.html
Developer Guide
test ../../../../../../ test dev/dev-release.html
-
Release and migration notes
test ../../../../../../ test dev/dev-getting-started.html
-
Getting Started
test ../../../../../../ test dev/dev-ui-config.html
-
Configuring the UI
test ../../../../../../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../../../../../../ test dev/dev-core.html
-
FRTB Core
test ../../../../../../ test dev/dev-extensions.html
-
Extending the Solution
test ../../../../../../ test dev/dev-tools.html
-
Configuring Solution tools and methodologies
test ../../../../../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../../../../../ test dev/dev-direct-query.html
-
DirectQuery
test ../../../../../../ test limits.html
Limit monitoring
test ../../../../../../ test sign-off.html
Sign-Off Approvals
test ../../../../../../ test what-if.html
What-If Analysis
test ../../../../../../ test pdf-guides.html
PDF Guides
test ../../../../../../ test glossary.html
Glossary
RiskFactorDescription
The RiskFactorDescription store contains the description of risk-factor .
The following table lists the fields in the store that are used for the CSR Sec CTP risk-class.
See the RiskFactorDescription store documentation for details on the store.
Data Model Field
Store Field
Notes
As-Of Date
AsOfDate
Risk Factor Name
Risk Factor
Risk Class
RiskClass
“CSR Sec CTP”
Risk Measure
Risk Measure
“Delta”, “Vega”, or “Curvature”
Underlying Name
Underlying
Curve Type
Risk Factor Type
“Bond” or “CDS”
Sensitivity Tenors
Maturity
for Vega only