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

Definition: Assumed stress move for a set of financial instruments defined by a common trading strategy.

Type: Strategy1

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