Summary VaR fields
Download sample file: SummaryVaR.csv
Summary data for the calculation of VaR and similar measures (Marginal VaR, Expected Shortfall) form the backbone of the Market Risk Accelerator. Input data consists of book level vectors of PnL simulations. The reference data model proposes a breakdown by risk factor - which may or may not be used - and a single set of PnLs per trade.
This Summary VaR fields file type is identified using the pattern: **SummaryVaR*.csv (as specified by mr.var.file-patterns.summary).
This file is loaded using the BaseStore 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 | RiskClass | Description | Example |
|---|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | ||
| ScenarioSet | Y | N | String | Name of the scenario set for the PnL vector. | “Historical”, “Stress” | |
| CalculationId | Y | N | String | Name of the PnL vector calculation run. There may be several runs per AsOfDate. | 1 | |
| MarketDataSet | Y | N | String | The market data set that should be used when retrieving rates for FX conversion. | Official EOD | |
| RiskFactor | Y | N | String | Underlying risk factor (may be more than one) of the risk class. It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (paragraphs 59-66) or remains as close as possible to this regulation. This field is mandatory. | BHP Billiton_Credit spread | |
| RiskClass | N | N | String | Defines the risk class that the PnL vector is computed for. | CSR non-Sec | |
| LiquidityHorizon | N | Y | Integer | The Liquidity Horizon in days. This field is optional. | 10, 20, 40, 60, 120 | |
| Ccy | N | N | String | Currency in which the PnL values are expressed. | EUR | |
| Book | N | Y | String | Book to map the trade to (must match the node in the Book Hierarchy). | CM_OILGAS | |
| VaR inclusion type | Y | Y | String | Defines if a trade is included in the VaR by repricing (R) from the VaR-ES cube or by sensitivity (S) from the Taylor VaR formula. | ||
| Adjustment Source | Y | Y | String | Sign-off adjustment source tagging. | ||
| Input type | Y | Y | String | The type of input for the row (e.g Data load, User input). | ||
| MTM | N | Y | Double | Mark-to-market value of the trade. | 1245.89 | |
| PnL[] | N | N | Double Array, separated by semicolons | Vector of profit and loss values. |