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
Identification
Id
Mandatory
Stress Size
StrssSz
Mandatory

Relative

Rltv
Choice

Definition: Percentage shift if the shift is defined as a relative move.

Type: BaseOneRate (Decimal)

Restrictions:

  • FractionDigits: 10
  • TotalDigits: 11

Absolute
Abs
Choice
Risk Factor
RskFctr
Choice
Description
Desc
Optional
Supplementary Data
SplmtryData
Repetition (0..n)
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