CCPPortfolioStressTestingDefinitionReportV01auth.057.001.01

CCPPortfolioStressTestingDefinitionReportV01
CCPPrtflStrssTstgDefRpt
Mandatory
Scenario Definition
ScnroDef
Repetition (1..n)
Identification
Id
Mandatory
Scenario Type
ScnroTp
Mandatory
Strategy Stress Type
StrtgyStrssTp
Mandatory
Stress Item
StrssItm
Repetition (1..2)
Stress Product
StrssPdct
Mandatory
Product
Pdct
Choice
Identification
Id
Mandatory
Maximum Stress Size
MaxStrssSz
Mandatory
Relative
Rltv
Choice
Absolute
Abs
Choice
Unit
Unit
Mandatory

Quantity

Qty
Mandatory

Definition: Number of units of measure shifted.

Type: Number (Decimal)

Restrictions:

  • FractionDigits: 0
  • TotalDigits: 18

Minimum Stress Size
MinStrssSz
Mandatory
Strategy
Strtgy
Choice
Risk Factor
RskFctr
Choice
Description
Desc
Optional
Supplementary Data
SplmtryData
Repetition (0..n)
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