IMARISK_FACTORS Table Fields
| Column Name | Type | Not Null | Cube Field | Description |
|---|---|---|---|---|
| RISK_FACTOR | STRING | Y | RiskFactor | The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. |
| RISK_CLASS | STRING | Y | RiskClass | The risk class, which will be one of the following: GIRR, CSR, Equity, Commodity, FX, allinFor non-modellable, non-idiosyncratic trades, this value should be blank. |
| NMRF | STRING | Y | Model.NMRF | NMRF stands for ‘Non-Modellable Risk Factor’ – it is a flag set to ‘N’ for modellable risk factors and ‘Y’ for non-modellable risk factors. |
| IDIOSYNCRATIC | STRING | Y | Idiosyncratic | An optional field, indicating whether or not the Non Modellable Risk Factor is Idiosyncratic. |
| CCY | STRING | Y | Currency | Currency of the Risk Factor. |
| AS_OF_DATE | DATE | Y | See field in referencing store (IMATrades) | Timestamp (at close of business) for the data. |
IMARISK_FACTORS Unique Key
| Columns |
|---|
| DATA_SET |
| RISK_CLASS |
| LIQUIDITY_HORIZON |
| BASE_CCY |
| COUNTER_CCY |
| AS_OF_DATE |
Incoming Joins
| Source Table | Source Columns | Target Columns |
|---|---|---|
| IMATRADES | RISK_FACTOR RISK_CLASS AS_OF_DATE | RISK_FACTOR RISK_CLASS AS_OF_DATE |