Regulatory Risk Factors

Description Risk factors used as the aggregation level for weighted sensitivities/CVR.
Dimension Risk
Hierarchy Regulatory Risk Factors
Levels [ALL, RegulatoryRiskFactor]

Section C1 specifies a certain definition of risk factors (subscript ~k~ in the methodology). This hierarchy, together with the Label1, allow displaying the right aggregation level. Please see examples in the bookmarks folder “ActiveViam SIMM” > “Margin Calculations”.