5%macro irmst_market_risk_factors_def_2;
10 Declare riskfactors=(Curve_1Y num var maturity = 1 year category = CurveMat label =
'Curve Maturity 1 Year' group=
'Curve Maturity' mlevel=ratio,
11 Curve_2Y num var maturity = 2 year category = CurveMat label =
'Curve Maturity 2 Year' group=
'Curve Maturity' mlevel=ratio,
12 Curve_3Y num var maturity = 3 year category = CurveMat label =
'Curve Maturity 3 Year' group=
'Curve Maturity' mlevel=ratio,
13 Curve_4Y num var maturity = 4 year category = CurveMat label =
'Curve Maturity 4 Year' group=
'Curve Maturity' mlevel=ratio,
14 Curve_5Y num var maturity = 5 year category = CurveMat label =
'Curve Maturity 5 Year' group=
'Curve Maturity' mlevel=ratio,
15 Curve_6Y num var maturity = 6 year category = CurveMat label =
'Curve Maturity 6 Year' group=
'Curve Maturity' mlevel=ratio,
16 Curve_7Y num var maturity = 7 year category = CurveMat label =
'Curve Maturity 7 Year' group=
'Curve Maturity' mlevel=ratio,
17 Curve_8Y num var maturity = 8 year category = CurveMat label =
'Curve Maturity 8 Year' group=
'Curve Maturity' mlevel=ratio,
18 Curve_9Y num var maturity = 9 year category = CurveMat label =
'Curve Maturity 9 Year' group=
'Curve Maturity' mlevel=ratio,
19 Curve_10Y num var maturity = 10 year category = CurveMat label =
'Curve Maturity 10 Year' group=
'Curve Maturity' mlevel=ratio
21 array CURVE_MAT var category=CurveMat group=
'Curve Maturity'
22 label=
"Counterparty Model Based Curve Maturities"
23 elements= (Curve_1Y Curve_2Y Curve_3Y Curve_4Y Curve_5Y Curve_6Y Curve_7Y Curve_8Y Curve_9Y Curve_10Y)
24 refmap=(curve_name_ref=
'CURVE_MAT');
28 Declare riskfactors=(A_cds1m num var maturity = 1 month category = CDS label =
'Cpty A CDS 1 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
29 A_cds3m num var maturity = 3 month category = CDS label =
'Cpty A CDS 3 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
30 A_cds6m num var maturity = 6 month category = CDS label =
'Cpty A CDS 6 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
31 A_cds1y num var maturity = 1 year category = CDS label =
'Cpty A CDS 1 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
32 A_cds5y num var maturity = 5 year category = CDS label =
'Cpty A CDS 5 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
33 A_cds10y num var maturity = 10 year category = CDS label =
'Cpty A CDS 10 Year' group=
'Counterparty CDS premiums' mlevel=ratio
37 array CPTY_A var category=CDS group=
'Counterparty CDS Curve'
38 label=
"Counterparty A CDS curve"
39 elements= (A_cds1m A_cds3m A_Cds6m A_cds1y A_cds5y A_cds10y)
40 refmap=(curve_name_ref=
'CPTY_A');
43 Declare riskfactors=(B_cds1m num var maturity = 1 month category = CDS label =
'Cpty B CDS 1 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
44 B_cds3m num var maturity = 3 month category = CDS label =
'Cpty B CDS 3 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
45 B_cds6m num var maturity = 6 month category = CDS label =
'Cpty B CDS 6 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
46 B_cds1y num var maturity = 1 year category = CDS label =
'Cpty B CDS 1 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
47 B_cds5y num var maturity = 5 year category = CDS label =
'Cpty B CDS 5 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
48 B_cds10y num var maturity = 10 year category = CDS label =
'Cpty B CDS 10 Year' group=
'Counterparty CDS premiums' mlevel=ratio
52 array CPTY_B var category=CDS group=
'Counterparty CDS Curve'
53 label=
"Counterparty B CDS curve"
54 elements= (B_cds1m B_cds3m B_Cds6m B_cds1y B_cds5y B_cds10y)
55 refmap=(curve_name_ref=
'CPTY_B');
59 Declare riskfactors=(C_cds1m num var maturity = 1 month category = CDS label =
'Cpty C CDS 1 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
60 C_cds3m num var maturity = 3 month category = CDS label =
'Cpty C CDS 3 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
61 C_cds6m num var maturity = 6 month category = CDS label =
'Cptyy C CDS 6 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
62 C_cds1y num var maturity = 1 year category = CDS label =
'Cpty C CDS 1 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
63 C_cds5y num var maturity = 5 year category = CDS label =
'Cpty C CDS 5 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
64 C_cds10y num var maturity = 10 year category = CDS label =
'CDS 10 Year' group=
'Counterparty CDS premiums' mlevel=ratio
68 array CPTY_C var category=CDS group=
'Counterparty CDS Curve'
69 label=
"Counterparty C CDS curve"
70 elements= (C_cds1m C_cds3m C_Cds6m C_cds1y C_cds5y C_cds10y)
71 refmap=(curve_name_ref=
'CPTY_C');
73 Declare riskfactors=(D_cds1m num var maturity = 1 month category = CDS label =
'Cpty D CDS 1 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
74 D_cds3m num var maturity = 3 month category = CDS label =
'Cpty D CDS 3 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
75 D_cds6m num var maturity = 6 month category = CDS label =
'Cpty D CDS 6 Month' group=
'Counterparty CDS premiums' mlevel=ratio,
76 D_cds1y num var maturity = 1 year category = CDS label =
'Cpty D CDS 1 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
77 D_cds5y num var maturity = 5 year category = CDS label =
'Cpty D CDS 5 Year' group=
'Counterparty CDS premiums' mlevel=ratio,
78 D_cds10y num var maturity = 10 year category = CDS label =
'Cpty D CDS 10 Year' group=
'Counterparty CDS premiums' mlevel=ratio
82 array CPTY_D var category=CDS group=
'Counterparty CDS Curve'
83 label=
"Counterparty D CDS curve"
84 elements= (D_cds1m D_cds3m D_Cds6m D_cds1y D_cds5y D_cds10y)
85 refmap=(curve_name_ref=
'CPTY_D');
88 Declare riskfactors=(E_spread1m num var maturity = 1 month category = CDS label =
'Cpty E Spread 1 Month' group=
'Counterparty Credit spreads' mlevel=ratio,
89 E_spread3m num var maturity = 3 month category = CDS label =
'Cpty E Spread 3 Month' group=
'Counterparty Credit spreads' mlevel=ratio,
90 E_spread6m num var maturity = 6 month category = CDS label =
'Cpty E Spread 6 Month' group=
'Counterparty Credit spreads' mlevel=ratio,
91 E_spread1y num var maturity = 1 year category = CDS label =
'Cpty E Spread 1 Year' group=
'Counterparty Credit spreads' mlevel=ratio,
92 E_spread5y num var maturity = 5 year category = CDS label =
'Cpty E Spread 5 Year' group=
'Counterparty Credit spreads' mlevel=ratio,
93 E_spread10y num var maturity = 10 year category = CDS label =
'Cpty E Spread 10 Year' group=
'Counterparty Credit spreads' mlevel=ratio
97 array CPTY_E var category=CDS group=
'Counterparty Credit Spread Curve'
98 label=
"Counterparty E spread curve"
99 elements= (E_spread1m E_spread3m E_spread6m E_spread1y E_spread5y E_spread10y)
100 refmap=(curve_name_ref=
'CPTY_E');
103 Declare riskfactors=(F_pd1m num var maturity = 1 month category = CDS label =
'Cpty F Hazard 1 Month' group=
'Counterparty Hazard rates' mlevel=ratio,
104 F_pd3m num var maturity = 3 month category = CDS label =
'Cpty F Hazard 3 Month' group=
'Counterparty Hazard rates' mlevel=ratio,
105 F_pd6m num var maturity = 6 month category = CDS label =
'Cpty F Hazard 6 Month' group=
'Counterparty Hazard rates' mlevel=ratio,
106 F_pd1y num var maturity = 1 year category = CDS label =
'Cpty F Hazard 1 Year' group=
'Counterparty Hazard rates' mlevel=ratio,
107 F_pd5y num var maturity = 5 year category = CDS label =
'Cpty F Hazard 5 Year' group=
'Counterparty Hazard rates' mlevel=ratio,
108 F_pd10y num var maturity = 10 year category = CDS label =
'Cpty F Hazard 10 Year' group=
'Counterparty Hazard rates' mlevel=ratio
112 array CPTY_F var category=CDS group=
'Counterparty Hazard Curve'
113 label=
"Counterparty F hazard curve"
114 elements= (F_pd1m F_pd3m F_pd6m F_pd1y F_pd5y F_pd10y)
115 refmap=(curve_name_ref=
'CPTY_F');
122 declare riskfactors=(USD_JPY1m num fx fromcur = usd tocur = jpy maturity = 1 month category = FX label =
'USD/JPY 1-M Forward exchange rate' group=
'FX Forward' mlevel=ratio,
123 USD_JPY3m num fx fromcur = usd tocur = jpy maturity = 3 month category = FX label =
'USD/JPY 3-M Forward exchange rate' group=
'FX Forward' mlevel=ratio,
124 USD_JPY6m num fx fromcur = usd tocur = jpy maturity = 6 month category = FX label =
'USD/JPY 6-M Forward exchange rate' group=
'FX Forward' mlevel=ratio,
125 USD_JPY1y num fx fromcur = usd tocur = jpy maturity = 1 year category = FX label =
'USD/JPY 1-Y Forward exchange rate' group=
'FX Forward' mlevel=ratio,
126 USD_EUR1m num fx fromcur = usd tocur = eur maturity = 1 month category = FX label =
'USD/EUR 1-M Forward exchange rate' group=
'FX Forward' mlevel=ratio,
127 USD_EUR3m num fx fromcur = usd tocur = eur maturity = 3 month category = FX label =
'USD/EUR 3-M Forward exchange rate' group=
'FX Forward' mlevel=ratio,
128 USD_EUR6m num fx fromcur = usd tocur = eur maturity = 6 month category = FX label =
'USD/EUR 6-M Forward exchange rate' group=
'FX Forward' mlevel=ratio,
129 USD_EUR1y num fx fromcur = usd tocur = eur maturity = 1 year category = FX label =
'USD/EUR 1-Y Forward exchange rate' group=
'FX Forward' mlevel=ratio
133 array fx_usd_jpy fx fromcur = usd tocur = jpy category=FX group=
'FX forward Curve'
134 label =
"FX Forward Curve USD to JPY"
135 elements = (USD_JPY1m USD_JPY3m USD_JPY6m USD_JPY1y)
136 refmap= (fx_curve=
'USD:JPY');
138 array fx_usd_eur fx fromcur = usd tocur = eur category=FX group=
'FX forward Curve'
139 label =
"FX Forward Curve USD to EUR"
140 elements = (USD_EUR1m USD_EUR3m USD_EUR6m USD_EUR1y)
141 refmap= (fx_curve=
'USD:EUR');
148 declare riskfactors=(AAAspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month AAA Credit Spread' group=
'Credit Spread' mlevel=ratio,
149 AAAspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month AAA Credit Spread' group=
'Credit Spread' mlevel=ratio,
150 AAAspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month AAA Credit Spread' group=
'Credit Spread' mlevel=ratio,
151 AAAspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month AAA Credit Spread' group=
'Credit curve' mlevel=ratio,
152 AAspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month AA Credit Spread' group=
'Credit Spread' mlevel=ratio,
153 AAspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month AA Credit Spread' group=
'Credit Spread' mlevel=ratio,
154 AAspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month AA Credit Spread' group=
'Credit Spread' mlevel=ratio,
155 AAspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month AA Credit Spread' group=
'Credit Spread' mlevel=ratio,
156 Aspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month A Credit Spread' group=
'Credit Spread' mlevel=ratio,
157 Aspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month A Credit Spread' group=
'Credit Spread' mlevel=ratio,
158 Aspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month A Credit Spread' group=
'Credit Spread' mlevel=ratio,
159 Aspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month A Credit Spread' group=
'Credit Spread' mlevel=ratio,
160 BBBspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month BBB Credit Spread' group=
'Credit Spread' mlevel=ratio,
161 BBBspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month BBB Credit Spread' group=
'Credit Spread' mlevel=ratio,
162 BBBspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month BBB Credit Spread' group=
'Credit Spread' mlevel=ratio,
163 BBBspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month BBB Credit Spread' group=
'Credit Spread' mlevel=ratio,
164 BBspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month BB Credit Spread' group=
'Credit Spread' mlevel=ratio,
165 BBspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month BB Credit Spread' group=
'Credit Spread' mlevel=ratio,
166 BBspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month BB Credit Spread' group=
'Credit Spread' mlevel=ratio,
167 BBspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month BB Credit Spread' group=
'Credit Spread' mlevel=ratio,
168 Bspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month B Credit Spread' group=
'Credit Spread' mlevel=ratio,
169 Bspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month B Credit Spread' group=
'Credit Spread' mlevel=ratio,
170 Bspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month B Credit Spread' group=
'Credit Spread' mlevel=ratio,
171 Bspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month B Credit Spread' group=
'Credit Spread' mlevel=ratio,
172 CCCspread1M num ir currency=usd category=Creditcurve maturity=1 month label=
'1 month CCC Credit Spread' group=
'Credit Spread' mlevel=ratio,
173 CCCspread3M num ir currency=usd category=Creditcurve maturity=3 month label=
'3 month CCC Credit Spread' group=
'Credit Spread' mlevel=ratio,
174 CCCspread6M num ir currency=usd category=Creditcurve maturity=6 month label=
'6 month CCC Credit Spread' group=
'Credit Spread' mlevel=ratio,
175 CCCspread12M num ir currency=usd category=Creditcurve maturity=12 month label=
'12 month CCC Credit Spread' group=
'Credit Spread' mlevel=ratio
178 array AAA_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
179 elements=(AAAspread1m AAAspread3m AAAspread6m AAAspread12m)
180 label=
"AAA Spread Curve"
181 refmap=(spread_curve=
'USD:AAA');
182 array AA_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
183 elements=(AAspread1m AAspread3m AAspread6m AAspread12m)
184 label=
"AA Spread Curve"
185 refmap=(spread_curve=
'USD:AA');
186 array A_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
187 elements=(Aspread1m Aspread3m Aspread6m Aspread12m)
188 label=
"A Spread Curve"
189 refmap=(spread_curve=
'USD:A');
190 array BBB_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
191 elements=(BBBspread1m BBBspread3m BBBspread6m BBBspread12m)
192 label=
"BBB Spread Curve"
193 refmap=(spread_curve=
'USD:BBB');
194 array BB_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
195 elements=(BBspread1m BBspread3m BBspread6m BBspread12m)
196 label=
"BB Spread Curve"
197 refmap=(spread_curve=
'USD:BB');
198 array B_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
199 elements=(Bspread1m Bspread3m Bspread6m Bspread12m)
200 label=
"B Spread Curve"
201 refmap=(spread_curve=
'USD:B');
202 array CCC_Spread ir currency=usd category=Creditcurve group=
'Credit Spread Curve'
203 elements=(CCCspread1m CCCspread3m CCCspread6m CCCspread12m)
204 label=
"CCC Spread Curve"
205 refmap=(spread_curve=
'USD:CCC');
212 distmeasure myvar funcname=_var_ funcparm=0.95 desc=
"my VaR95 measure" distribution=all loss_measure;
213 distmeasure myvar95 funcname=var95 desc=
"my second VaR95 measure" distribution=all loss_measure;
214 distmeasure myes95 funcname=cvar95 desc=
"my CVaR hardcoded measure" distribution=all loss_measure;
215 distmeasure myes funcname=cvar funcparm=0.95 desc=
"my CVaR alpha=0.95" distribution=all loss_measure;
216 distmeasure mydbm funcname=dual_block_minima funcparm=0.5 desc=
"Dual Block Minima" distribution=all loss_measure;
217 distmeasure mybm funcname=block_maxima funcparm=2 desc=
"Block Maxima" distribution=all loss_measure;
218 distmeasure mywangq funcname=Wang_Transform_q funcparm=1.96 desc=
"Wang q" distribution=all loss_measure;
219 distmeasure mywangp funcname=Wang_Transform_p funcparm=0.975 desc=
"Wang p" distribution=all loss_measure;