Risk Factors Catalog

Download sample file: RiskFactorsCatalog.csv This Risk Factors Catalog file type is identified using the pattern: **RiskFactorCatalog*.csv (as specified by mr.common.file-patterns.risk-factor-catalog). This file is loaded using the RiskFactorsCatalogue topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic. For information on the glob patterns used and how to customize them, see note on File name patterns

Field	Key	Null	FieldType	Description	Example
AsOfDate	Y	N	String with format ‘YYYY-MM-DD’	Indicates the date of the file. See Note on AsOfDate.
RiskFactorID	Y	N	String	Internal risk factor/bucket identifier: instrument, curve, vol surface/cube identifier
RiskClass	N	N	String	Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”.	Equity
Qualifier	N	Y	String	Identifier of a risk factor’s set.	Reference instrument identifier, curve identifier, vol surface identifier, etc.
RiskFactorType	N	Y	String or list of strings	Type of underlying risk factor.	”implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate”
RiskFactorCcy	N	Y	String	Three-letter ISO currency code that represents the currency of the risk factor	EUR
CurveType	N	Y	String	Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation”	EUR 3 Months