202101 Stressed_PVA_Projections
Order | Field Name | Type | Enumeration | Definition | Range Bottom | Range Top | Range Scope | Mandatory | Unique |
---|---|---|---|---|---|---|---|---|---|
1 | Book type | String (255 long) | BookType | BookType | Yes | Yes | |||
2 | Portfolio | String (255 long) | PVAportfolio | PVAportfolio | Yes | Yes | |||
3 | Scenario | String (255 long) | ScenarioACS | Scenario | Yes | Yes | |||
4 | Projection period | String (255 long) | Projectionperiod | Projectionperiod | Yes | Yes | |||
5 | Methodology type | String (255 long) | Methodologytype | Methodologytype | Yes | Yes | |||
6 | Model name | String (255 long) | Modelname | - | Yes | ||||
7 | Product name | String (255 long) | Productname | - | Yes | ||||
8 | Risk/parameter most relevant to model risk AVA | String (255 long) | RiskparametermostrelevanttomodelriskAVA | - | Yes | ||||
9 | Model risk AVA | Float | ModelriskAVA | - | - | ||||
10 | Diversifications and offsets (related to model risk AVA) | Float | DiversificationsandoffsetsrelatedtomodelriskAVA | - | - | ||||
11 | Related fair value adjustment - Model risk | Float | RelatedfairvalueadjustmentModelrisk | - | - | ||||
12 | Related fair value adjustment - Overhedge | Float | RelatedfairvalueadjustmentOverhedge | - | - | ||||
13 | Related fair value adjustment - Other | Float | RelatedfairvalueadjustmentOther | - | - | ||||
14 | Fair value assets | Float | Fairvalueassets | - | - | ||||
15 | Fair value liabilities | Float | Fairvalueliabilities | - | - | ||||
16 | Gross notional | Float | Grossnotional | - | - |