Risk factor [MAR10.9]

The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Curve and the tenor fields are used. This means that multiple Risk Factor Names may be used for the same risk-factor.

Field	Key	Risk Measure	Description
As-of Date	Y	All	Timestamp (at close of business) for the data (T-1)
Risk Factor Name	Y	All	A name for the risk-factor
Risk Class	Y	All	“GIRR”
Risk Measure	Y	All	“Delta”, “Vega”, or “Curvature”
Sensitivity Tenor		Delta	The time to maturity of the traded instrument
Option Maturity		Vega	The maturity of the option
Underlying Maturity		Vega	The residual maturity of the underlying
Curve Name (Underlying)		All	Name of the curve

For Curvature, there is only a single risk factor per bucket and the Curve Name can be the currency/bucket.

Sensitivities

Curve

⌘I