Stress Test Data Framework Dictionary 2021: Version 02

Default_loss

The tab “Default Loss” collects the loss due to counterparty credit risk exposures against the defaulting counterparty / counterparties selected under the scenario.

202101 Counterparty_Credit_Risk_Losses_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Default loss category String (255 long) Defaultlosscategory Defaultlosscategory Yes Yes
2 Counterparty legal entity name String (255 long) Counterpartylegalentityname Yes Yes
3 Geographic region String (255 long) Counterpartycreditrisklossesgeographicregion Yes Yes
4 Default loss under stress Float Defaultlossunderstress 0.0000 Inclusive Yes -
5 Unstressed accounting CVA (post-hedge) Float UnstressedaccountingCVAposthedge 0.0000 Inclusive Yes -
6 Net default loss Float Netdefaultloss Yes -