Risk Metric

RiskMetricPROJECT

Quantitative measure of risk (Value-at-Risk, duration, delta, beta, tracking error, etc.) computed for a position, account, or fund.

Datasets representing this concept

1 dataset

Dataset	Role	Pure
risk_metric_eod	primary	Pure Model ->

Pure Class

FIBO-grounded class definition for this concept: properties, multiplicities, and source-column annotations. Per-dataset Mapping and Table blocks live on each dataset's Pure Model tab.

<<Lineage.parquetBacked>>
{Lineage.parquetPath = 'out/parquet/risk_metric_eod/**/*.parquet', Lineage.fiboModule = 'PROJECT', Lineage.fiboConcept = 'RiskMetric', Lineage.datasetTitle = 'End-of-Day Risk Metrics'}
// Per-fund daily risk measures — VaR (95% 1-day), effective duration on bond exposures, aggregate option delta.
Class fibo::derived::RiskMetric
{
    // AsOfDate: The business date as of which a snapshot was taken (positions, prices, NAV, etc.).
    asOfDate : StrictDate[1];
    // RiskScope: What level of aggregation a risk metric is computed at: POSITION, ACCOUNT, or FUND.
    scope : String[1];
    // FundIdentifier: Internal surrogate key uniquely identifying a fund within this system.
    scopeId : Integer[1];
    // MetricCode: Identifier for which risk metric a row represents (VAR_95_1D, DURATION, DELTA, BETA, etc.).
    metricCode : String[1];
    // MarketValue: Quantity × current price, expressed in the instrument\'s currency. The value at which the position would settle if liquidated at the prevailing price.
    value : Decimal[1];
    // BaseCurrency: The currency in which a fund reports its NAV and performance, against which non-base holdings are FX-converted.
    currencyCode : String[0..1];
}