Stress Test Data Framework Dictionary 2021: Version 02

Exposuretype

Enumeration Definition
Basis The amount of AVA arising from a basis exposure.
Correlation The amount of AVA arising from a correlation exposure.
Delta The amount of AVA arising from a delta exposure.
Forward The amount of AVA arising from a forward curve exposure.
Other AVA not attributable to one of the other Exposure Types.
Skew The amount of AVA arising from a volatility skew exposure.
Vega The amount of AVA arising from a vega exposure.