Risk factors used as the aggregation level for weighted sensitivities/CVR.
Dimension
Risk
Hierarchy
Regulatory Risk Factors
Levels
[ALL, RegulatoryRiskFactor]
Section C1 specifies a certain definition of risk factors (subscript k in the methodology). This hierarchy, together with the Label1, allow displaying the right aggregation level. Please see examples in the bookmarks folder “ActiveViam SIMM” > “Margin Calculations”.
Risk class for a risk type. Expected values for the SIMM risk types: - commodity - credit non-qualifying - credit qualifying - equity - foreign exchange - interest rate
