Market Risk Accelerator Reference Guide v2.0.0Risk Factors Catalog
Download sample file: RiskFactorsCatalog.csv
File pattern match
The pattern match for the RiskFactorCatalog file is **RiskFactorCatalog*.csv
For information on the glob patterns used and how to customize them, see note on File name patterns.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | |
| RiskFactorID | Y | N | String | Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier | |
| RiskClass | N | N | String | Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. | Equity |
| Qualifier | N | Y | String | Identifier of a risk factor’s set. | Reference instrument identifier, curve identifier, vol surface identifier, etc. |
| RiskFactorType | N | Y | String or list of strings | Type of underlying risk factor. | “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate” |
| RiskFactorCcy | N | Y | String | Three-letter ISO currency code that represents the currency of the risk factor | EUR |
| CurveType | N | Y | String | Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation” | EUR 3 Months |