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