Risk 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
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