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
Strategy
Strtgy
Choice

Risk Factor

RskFctr
Choice

Definition: Variable, index, benchmark or other price used in the valuation of a financial instrument.

Type: RiskFactor1

Identification
Id
Mandatory
Stress Size
StrssSz
Mandatory
Description
Desc
Optional
Supplementary Data
SplmtryData
Repetition (0..n)
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