The Risk dimension contains the following hierarchies:Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
Commodity Location
Delivery location of a commodity risk factor.
Crypto 2a Exchange
The exchange where the crypto asset is traded
Crypto 2b Direction
Long/short direction of positions for the purpose of Crypto 2b requirement calculation.
Currencies
Risk factor’s currency.
Data Sets
List of data set names used for PL simulation.
DRC Scenarios
List of scenario labels associated with DRC simulations.
EBA RRAO Other Instrument Type (optional)
This hierarchy is used for non-exotic trades, allowing for a trade to belong to multiple RRAO Other Instrument Types. See EBA Reporting Templates for more information.
FX Counter Currency
The reporting/base currency for which the sensitivity was calculated.
GIRR Basis Ccy
The counter currency for GIRR cross-currency basis curves.
Idiosyncratic
Indicates if the exposure comes from an idyosyncrtic risk factor.
Liquidity Horizons
Indicates which liquidity horizon is associated with risk factor/PL vectors.
Maturities
Risk Factor’s underlying maturities for GIRR Vega.
Model
Indicates whether the risk comes from a non-modellable risk factor.
Original Maturity
The SBM risk-factor tenor provided in the input, before interpolation to the prescribed tenors.
Original Underlying Maturity
For GIRR Vega risk-factors, the residual maturity of the underlying as provided in the input, prior to interpolation to the prescribed tenors.
Present Value Ladder
The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders. Defaults to being filled with TradeId.
Residual Risk Add On
Displays whether a trade/position has an exotic underlying (first level of the hierarchy), and the type of exotic risk (second level of the hierarchy).
Risk Classes
Risk class defined by the regulation.
Risk Factor Set
Risk Factor Set identifiers (Full or Reduced).
Risk Factor Types
Type of risk factor. For example, repo or spot for equities, curve type for rates, etc.
Risk Factors
Risk factor identifiers.
Risk Measures
High-level measure type, such as delta/vega.
RRAO Asset Class
Reported asset class for the position.
RRAO Category
Groups trades for overriding their RRAO attributes.
RRAO Exemption Reason
Reported reason why the position is exempt from RRAO.
Scenario Dates
List of scenario labels associated with simulations.
Sensitivity Scale Category
The category used to scale the SBM sensitivities.
Sliding Window
Start date of Stress Window being considered.
Vertices
Regulatory vertices as defined by the methodology.