IMARiskFactors. This file is loaded using the IMARiskFactors topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
| Field | Key | Null | FieldType | Description | Example |
| RiskFactor | Y | Y | String | The risk factor – the values must be the same as in the ‘RiskFactor’ field of the Expected Shortfall PL file. It is optional for modellable risk-factors and required for non-modellable risk-factors. | |
| RiskClass | Y | N | String | The risk class, which will be one of the following:GIRR,, CSR,, Equity,, Commodity,, FX,, allinNote: For non-modellable, non-idiosyncratic trades, this value should be blank. | |
| NMRF | N | Y | ‘Y’ or ‘N’ | 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 | N | Y | ‘Y’ or ‘N’ | Indicates whether or not the Non Modellable Risk Factor is Idiosyncratic | |
| (unused) | N | Y | Field is ignored. | ||
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |
IMARiskFactorsHistorical Topic
The IMARiskFactorsHistorical topic has the same file format as IMARiskFactors.csv. The difference is the file location.- When loading the IMARiskFactors topic, the as-of date is provided in the scope and the file will be loaded from the corresponding directory.
- When loading the IMARiskFactorsHistorical topic, no as-of date is provided in the scope and all IMARiskFactors.csv files from the historical directory are loaded.