Navigation :

Risk Factors Catalog

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