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Risk Factors Catalog

Download sample file: RiskFactorsCatalog.csv

This Risk Factors Catalog file type is identified using the pattern: **RiskFactorCatalog*.csv (as specified by mr.common.file-patterns.risk-factor-catalog). This file is loaded using the RiskFactorsCatalogue topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

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