Market Risk Accelerator v2.1risk-config.properties
File purpose
The risk-config.properties file is used to configure computations.
File values
Section: Context values
| Key | Value | Description |
|---|---|---|
| weightedvar.lambda.default.value | 0.94 | Weighted VaR default lambda parameter |
| var.confidence.default.value | 99 | VaR default confidence percentage |
| vae.confidence.default.value | 95 | VaE default confidence percentage |
| es.confidence.default.value | 97.5 | Expected shortfall default confidence percentage |
| ctx.queries.time.limit.combined | 30 | The query time limit, in seconds, for the combined query cube, defined by the “queriesTimeLimit” context value |
| ctx.queries.time.limit.data | 30 | The query time limit, in seconds, for the data cubes, defined by the “queriesTimeLimit” context value |
Section: Vectors
| Key | Value | Description |
|---|---|---|
| pnl.vectorsize | Spot | PnL vector size; Used for setting context value maximum values |
| vector.index.interpolation.setting | CLOSEST | Determines the behaviour of post processors when a quantile does not correspond to a specific index in a vector. |
| Available options are: | ||
| CLOSEST = the nearest index | ||
| UP = the nearest higher index | ||
| DOWN = the nearest lower index | ||
| sparse.vectors.enable.for.sensistores | TradeSensitivities:Values, TradeSensitivities:FirstOrderLadder, TradeSensitivities:SecondOrderLadder | Enable sparse vector compression for the list of columns of kind “store:field”. |
| sparse.vectors.density-threshold | 0.2 | Below this density threshold, the space vector implementation will be used for compaction on the selected fields. |
| cvar.regression.length | Length of the regression when calculating Component VaR. By default this property is not set. The size of the underlying PnL vector is used instead. | |
| Must be less than or equal to the length of the loaded PnL vectors. | ||
| rounding.var | CEIL | Rounding method used to find the closest quantile for VaR. |
| You can use FLOOR, CEIL, ROUND, ROUND_EVEN, WEIGHTED | ||
| rounding.es | ROUND_EVEN | Rounding method used to find the closest quantile for ES. |
| You can use FLOOR, CEIL, ROUND, ROUND_EVEN, WEIGHTED | ||
| rounding.vae | CEIL | Rounding method used to find the closest quantile for VaE. |
| You can use FLOOR, CEIL, ROUND, ROUND_EVEN, WEIGHTED | ||
| rounding.quantile2Rank | EQUAL_WEIGHT | How to find the rank in the PNL vector from the quantile: |
| EQUAL_WEIGHT: Equally spaced PNLs in ]0%-100%[ | ||
| CENTERED: PNL centered on quantile with 1/size steps |
Section: Bucketing
| Key | Value | Description |
|---|---|---|
| bucketing.sets.tenors | DEFAULT,REDUCED,DECADE | The names of the available tenor and maturity sets to be selectable in a context value. # Must match inputs in DynamicTenors and DynamicMaturities files. |
| bucketing.sets.maturities | DEFAULT,REDUCED | |
| bucketing.sets.moneyness | DEFAULT,NO_SMILE | The names of the available moneyness sets to be selectable in a context value. Must match inputs in DynamicMoneyness file |
| bucketing.days.week | 7 | Number of days to be used when converting pillars for bucketing purposes. |
| bucketing.days.month | 30 | |
| bucketing.days.year | 360 | |
| numberOfBuckets | 100 | Maximum number of buckets for PnLDistributionPostProcessor |
| marketData.set.default | Official EOD | Default market data set to use for the calculations |
| pnl.default.type | Actual PL Attributed | Default PnL type for PnL cube. |
| rounding.default.type | CEIL | Default rounding method for Tail measure calculations |
| quantile.2.rank.default | EQUAL_WEIGHT | Default quantile type for Tail measure calculations |
Section: Levels for scalar sensitivities
| Key | Value | Description |
|---|---|---|
| tenors.fact.levels | Delta::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Gamma::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Vega::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Vanna::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk,Volga::Tenor Date@Tenor Dates@Risk;Tenor@Tenors@Risk | Defines the source tenor/maturity levels to use for scalar sensitivities. The format is Sensitivity::PrimaryLevel;AlternateLevel. The alternate level will be used if the primary level member is N/A. |
| maturities.fact.levels | Vega::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk,Vanna::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk,Volga::Maturity Date@Maturity Dates@Risk;Maturity@Maturities@Risk | |
| moneyness.fact.levels | Vanna::Moneyness@Moneyness@Risk,Volga::Moneyness@Moneyness@Risk,Vega::Moneyness@Moneyness@Risk | |
| tenors.fact.levels.labels | Delta::Tenor@Tenors@Risk,Gamma::Tenor@Tenors@Risk,Vega::Tenor@Tenors@Risk,Vanna::Tenor@Tenors@Risk,Volga::Tenor@Tenors@Risk | |
| tenors.fact.levels.dates | Delta::Tenor Date@Tenor Dates@Risk,Gamma::Tenor Date@Tenor Dates@Risk,Vega::Tenor Date@Tenor Dates@Risk,Vanna::Tenor Date@Tenor Dates@Risk,Volga::Tenor Date@Tenor Dates@Risk | |
| maturities.fact.levels.labels | Vega::Maturity@Maturities@Risk,Vanna::Maturity@Maturities@Risk,Volga::Maturity@Maturities@Risk | |
| maturities.fact.levels.dates | Vega::Maturity Date@Maturity Dates@Risk,Vanna::Maturity Date@Maturity Dates@Risk,Volga::Maturity Date@Maturity Dates@Risk | |
| moneyness.fact.levels.labels | Vanna::Moneyness@Moneyness@Risk,Volga::Moneyness@Moneyness@Risk,Vega::Moneyness@Moneyness@Risk | |
| moneyness.fact.levels.dates | Vanna::,Volga::,Vega:: |
Section: Levels for postprocessors
This section defines all the levels and hierarchies used by the Post-Processors
| Key | Value | Description |
|---|---|---|
| tenors.analysis.level | Tenor@Tenors@Risk | |
| maturities.analysis.level | Maturity@Maturities@Risk | |
| moneyness.analysis.level | Moneyness@Moneyness@Risk | |
| dynamic.tenors.analysis.level | Tenor@DynamicTenors@DynamicBucketing | |
| dynamic.tenors.hierarchy | DynamicTenors@DynamicBucketing | |
| dynamic.maturities.hierarchy | DynamicMaturities@DynamicBucketing | |
| dynamic.moneyness.hierarchy | DynamicMoneyness@DynamicBucketing | |
| asofdate.hierarchy | Date@Dates | |
| asofdate.level | AsOfDate@Date@Dates | |
| trades.level | TradeId@Trades@Booking | |
| books.level | Book@Books@Booking | |
| rounding.level | MethodName@RoundingMethods@Rounding | |
| quantileRank.level | QuantileName@Quantiles@Quantiles | |
| risk.factor.level | RiskFactor@Risk Factors@Risk | |
| risk.factor2.level | RiskFactor2@Risk Factors secondary@Risk | Level description of second risk factor axis (used for Vanna) |
| delta.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the delta sensitivity |
| cash.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the cash sensitivity |
| theta.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the theta sensitivity |
| vega.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the vega sensitivity |
| gamma.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the gamma sensitivity |
| volga.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the volga sensitivity |
| cross.gamma.currency.level | Ccy@Currencies@Currencies | Level containing the local currency for the cross-gamma sensitivity |
| sensitivity.name.level | SensitivityName@Sensitivity@Sensitivities | |
| currency.level | Ccy@Currency@Currencies | Level containing the local currency on VaR and PnL cubes |
| scenario.set.level | Scenario Set@Scenario Sets@Risk | |
| scenario.analysis.level | Scenario@Scenarios@Risk | |
| risk.mandate.level | Domain1@Risk Mandates 1@Sign-Off | |
| risk.class.level | RiskClass@Risk Classes@Risk | |
| percentile.level | Percentile@Percentile@Risk | |
| sensi.ladder-shifts.level | Ladder Shift@Ladder Shifts@Risk | |
| sensi.ladder-availability.level | Ladder Available@Ladder Availability@Risk | |
| trades.var.inclusion.level | VaR inclusion type@VaR inclusion type@TradeAttributes | |
| market.data.set.level | MarketDataSet@MarketDataSets@MarketData | |
| trade.maturity.date.level | MaturityDate@MaturityDates@TradeAttributes | Level containing the maturity date of the trade |
Section: Risk classes & confidence levels
| Key | Value | Description |
|---|---|---|
| risk.class.members | Risk classes are used in order to define specific metrics | |
| confidence.levels | 97.5,99 | Confidence levels used to define specific measures |
Section: Sensitivities
This section lists sensitivities by type. Data present in the Sensitivity Name column of the sensitivities input files are filtered using regular expression defined in these properties.
| Key | Value | Description |
|---|---|---|
| sensi.type.delta | ^(?i).*(?:delta | dividends |
| sensi.type.cash | ^(?i).*(?:cash | Cash).*$ |
| sensi.type.vega | ^(?i).*vega.*$ | Vega sensitivity |
| sensi.type.gamma | ^(?i).*(gamma)(?<!((?:cross | x).?gamma)).*$ |
| sensi.type.vanna | ^(?i).*vanna.*$ | Vanna sensitivity |
| sensi.type.volga | ^(?i).*(?:volga | vomma).*$ |
| sensi.type.theta | ^(?i).*(?:theta | Theta).*$ |
| ^(?i).*(?:delta | dividends).*$ | ^(?i).*(?:delta |
| sensi.type.cross.gamma | ^(?i).*(?:cross | x).?gamma.*$ |
Section: FX risk
| Key | Value | Description |
|---|---|---|
| risk.class.member.fx | FX | Risk class used to compute FX risk |
Section: Theta
| Key | Value | Description |
|---|---|---|
| theta.default.maturity | 2040-01-01 | The default maturity date used for theta PnL computation when the maturity provided by the ${trade.maturity.date.level} is emtpy. Format is YYYY-MM-DD. |
Section: Taylor VaR
| Key | Value | Description |
|---|---|---|
| sensi.interpolateMarketShifts | true | Flag to enable or disable interpolation of market data |
Section: Weighted measures
| Key | Value | Description |
|---|---|---|
| weightedvar.pnl.oldest.first | false | Flag to set the order sequence of PnL data in the PnL vector |
Section: Tenors, maturities and moneyness default values
| Key | Value | Description |
|---|---|---|
| tenorAndMaturity.defaultValue | N/A | Default value for tenors and maturities |
| moneyness.defaultValue | ATM | Default value for moneyness |