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VaR-ES Cube

This is the input file for the VaR-ES Summary Cube

This VaR-ES Cube file type is identified using the pattern: **VaR-ES Cube*.csv (as specified by mr.var.file-patterns.var-import). 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	Description	Example
AsOfDate	Y	N	String with format ‘YYYY-MM-DD’	Indicates value date.	2019-01-01
CalculationId	Y	N	String	Name of the PnL vector calculation run. There may be several runs per AsOfDate.
RiskClass	N	N	String	Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.	Equity
MarketDataSet	Y	N	String	The market data set that should be used when retrieving rates for FX conversion.	Official EOD
RiskFactor	N	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.
Liquidity Horizon	N	Y	Integer	The Liquidity Horizon in days. This field is optional.	10, 20, 40, 60, 120
Scenario Set	Y	N	String	Name of the set of scenarios.	“Historical”, “Stress”
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
Qualifier	N	Y	String	Identifier of a risk factor’s set.	Reference instrument identifier, curve identifier, vol surface identifier, etc.
Ccy	N	N	String	Currency of the sensi value
Desk	N	Y	String	Set to “Y” to identify this node as a desk, otherwise left empty.
Book	N	Y	String	Book to map the trade to (must match the node in the Book Hierarchy).
TradeId	Y	N	String	If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ).	“IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.