RSK_DEAL_MEASUR (SQL Table)	Index Back
Repository for risk measures This table contains values of risk measures calculated by analytic functions. Use the data from this table to produce risk reports.

RSK_DEAL_MEASUR

(SQL Table)

Repository for risk measures

This table contains values of risk measures calculated by analytic functions. Use the data from this table to produce risk reports.

# PeopleSoft Field Name PeopleSoft Field Type Database Column Type Description

1 BUSINESS_UNIT Character(5) VARCHAR2(5) NOT NULL Business Unit

2 TREAS_HEADER_ID Character(12) VARCHAR2(12) NOT NULL The unique key identifier for a given deal transaction.

3 ASOFDATE Date(10) DATE As of Date

4 SEQNUM Number(3,0) SMALLINT NOT NULL Sequence Number

5 RSK_VALUATION Signed Number(28,3) DECIMAL(26,3) NOT NULL Current Valuation retrieved from an analytic for a financial instrument.

6 CURRENCY_CD Character(3) VARCHAR2(3) NOT NULL Currency Code

7 RSK_DURATION Signed Number(15,8) DECIMAL(13,8) NOT NULL A measure of exposure to interest rates.

8 RSK_CONVEXITY Signed Number(15,8) DECIMAL(13,8) NOT NULL A measure of second-order exposure to interest rates.

9 RSK_DELTA_A Signed Number(11,8) DECIMAL(9,8) NOT NULL The net equivalent global commodity exposure. For example, the delta on this soybean call option is .8, or 80%.

10 RSK_GAMMA Signed Number(17,8) DECIMAL(15,8) NOT NULL Gamma is a risk measure corresponding to the rate of change of the absolute delta with respect to a price change in the underlying commodity.

11 RSK_LAMBDA Signed Number(23,8) DECIMAL(21,8) NOT NULL lIt is a risk measure corresponding to the rate of change of the instrument value with respect to an infinitesimal change in commodity yield.

12 RSK_RHO Signed Number(23,8) DECIMAL(21,8) NOT NULL In the domestic forms of the models, rho is defined as the rate of change in the instrument value with respect to an infinitesimal change in the domestic interest rate.

13 RSK_THETA Signed Number(23,8) DECIMAL(21,8) NOT NULL Theta is a risk measure corresponding to the time rate of change of the value of the instrument, over an infinitesimal interval of time. Some applications require "daily" thetas, which may be approximated by dividing the theta by the number of days per year, or more exactly via two invocations of the model for maturities one day apart, which are then differenced.

14 RSK_VEGA Signed Number(23,8) DECIMAL(21,8) NOT NULL Vega is a risk measure corresponding to the rate of change of the instrument value with respect to an infinitesimal change in volatility.

#	PeopleSoft Field Name	PeopleSoft Field Type	Database Column Type	Description
1	BUSINESS_UNIT	Character(5)	VARCHAR2(5) NOT NULL	Business Unit
2	TREAS_HEADER_ID	Character(12)	VARCHAR2(12) NOT NULL	The unique key identifier for a given deal transaction.
3	ASOFDATE	Date(10)	DATE	As of Date
4	SEQNUM	Number(3,0)	SMALLINT NOT NULL	Sequence Number
5	RSK_VALUATION	Signed Number(28,3)	DECIMAL(26,3) NOT NULL	Current Valuation retrieved from an analytic for a financial instrument.
6	CURRENCY_CD	Character(3)	VARCHAR2(3) NOT NULL	Currency Code
7	RSK_DURATION	Signed Number(15,8)	DECIMAL(13,8) NOT NULL	A measure of exposure to interest rates.
8	RSK_CONVEXITY	Signed Number(15,8)	DECIMAL(13,8) NOT NULL	A measure of second-order exposure to interest rates.
9	RSK_DELTA_A	Signed Number(11,8)	DECIMAL(9,8) NOT NULL	The net equivalent global commodity exposure. For example, the delta on this soybean call option is .8, or 80%.
10	RSK_GAMMA	Signed Number(17,8)	DECIMAL(15,8) NOT NULL	Gamma is a risk measure corresponding to the rate of change of the absolute delta with respect to a price change in the underlying commodity.
11	RSK_LAMBDA	Signed Number(23,8)	DECIMAL(21,8) NOT NULL	lIt is a risk measure corresponding to the rate of change of the instrument value with respect to an infinitesimal change in commodity yield.
12	RSK_RHO	Signed Number(23,8)	DECIMAL(21,8) NOT NULL	In the domestic forms of the models, rho is defined as the rate of change in the instrument value with respect to an infinitesimal change in the domestic interest rate.
13	RSK_THETA	Signed Number(23,8)	DECIMAL(21,8) NOT NULL	Theta is a risk measure corresponding to the time rate of change of the value of the instrument, over an infinitesimal interval of time. Some applications require "daily" thetas, which may be approximated by dividing the theta by the number of days per year, or more exactly via two invocations of the model for maturities one day apart, which are then differenced.
14	RSK_VEGA	Signed Number(23,8)	DECIMAL(21,8) NOT NULL	Vega is a risk measure corresponding to the rate of change of the instrument value with respect to an infinitesimal change in volatility.