Docs / nablatensor-risk / com.nablatensor.risk
enum
RiskClass
The FRTB / SIMM risk classes. Phase-2 slice implements EQUITY end to end.
Enum constants
GIRR
General interest-rate risk: yield-curve, inflation and cross-currency-basis factors.
CSR_NON_SEC
Credit-spread risk on non-securitisation positions (bonds, single-name / index CDS).
CSR_SEC
Credit-spread risk on securitisations outside the correlation-trading portfolio.
CSR_SEC_CTP
Credit-spread risk on securitisations in the correlation-trading portfolio (n-th-to-default, bespoke tranches).
EQUITY
Equity risk: spot and repo-rate factors.
COMMODITY
Commodity risk: forward-price factors keyed by commodity and delivery location.
FX
Foreign-exchange risk: one factor per currency pair.