Declaration of risk types, mapping to risk class and sensitivity types, and domains
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Risk value date
2019-12-01
RiskType
Y
N
String
Must list all SIMM risk types for the SIMM domain. Can include other risk types for the non-SIMM domains (custom domains)
Risk_IRCurve
RiskClass
N
N
String
Risk class for a risk type. Expected values for the SIMM risk types: commodity; credit non-qualifying; credit qualifying; equity; foreign exchange; interest rate
interest rate
SensitivityType
N
N
String
Type of sensitivity for a risk type. Expected values for the SIMM risk types: delta, vega.
delta
DefaultDomain
N
N
String
Domain for which a risk type belongs to. Must be ‘SIMM’ for SIMM risk types