http://hedgefundontology.com/hfr/form/PFFormFiling.ttl#NonVaRRiskMetricCodeType
Class 'pfrd-sec:Non va RRisk metric code type'


sxml:tag
NonVaRRiskMetricCodeType
rdf:type
owl:Class
rdfs:comment
Non-VaR Risk Metric type codes for liquidity funds. Allowed values (code-description) are: NONE - None OTH - Other CASH_RISK - Cashflow-at-risk CS01 - CS01 DEF_BETA - Default spread beta DV01 - DV01 EARN_RISK - Earnings-at-risk XPCTD_SHRTFALL - Expected shortfall INFLATION - Inflation beta INFO_RATIO - Information Ratio KURTOSIS - Kurtosis LQDTY_AJSTD - Liquidity Adjusted Value at Risk MARGINAL - Marginal expected shortfall MAX - Maximum Drawdown (period specific, over a quarter, or over a year) NET_EQTY - Net equity delta OMEGA_RATIO - Omega Ratio PROFIT - Profit-at-risk RESIDUE - Residual risk RISK_LEVERAGE - Risk based leverage SCENARIO - Scenario Analysis SEMI_DVTN - Semideviation SHARPE - Sharpe Ratio SKEWNESS - Skewness SORTINO - Sortino Ratio STD - Standard deviation STRESS - Stress Var/Stress test
rdfs:label
Non va RRisk metric code type
rdfs:subClassOf
dtype:value max 1
dtype:value only pfrd-sec:String preserve white spaces datatype
pfrd-sec:Enumerated value
owl:oneOf
[pfrd-sec:CASH RISK,
pfrd-sec:CS01,
pfrd-sec:DEF BETA,
pfrd-sec:DV01,
pfrd-sec:EARN RISK,
pfrd-sec:INFLATION,
pfrd-sec:INFO RATIO,
pfrd-sec:KURTOSIS,
pfrd-sec:LQDTY AJSTD,
pfrd-sec:MARGINAL,
pfrd-sec:MAX,
pfrd-sec:NET EQTY,
pfrd-sec:NONE,
pfrd-sec:OMEGA RATIO,
pfrd-sec:OTH,
pfrd-sec:PROFIT,
pfrd-sec:RESIDUE,
pfrd-sec:RISK LEVERAGE,
pfrd-sec:SCENARIO,
pfrd-sec:SEMI DVTN,
pfrd-sec:SHARPE,
pfrd-sec:SKEWNESS,
pfrd-sec:SORTINO,
pfrd-sec:STD,
pfrd-sec:STRESS,
pfrd-sec:XPCTD SHRTFALL]
Instances
pfrd-sec:CASH RISK, pfrd-sec:CS01, pfrd-sec:DEF BETA, pfrd-sec:DV01, pfrd-sec:EARN RISK, pfrd-sec:INFLATION, pfrd-sec:INFO RATIO, pfrd-sec:KURTOSIS, pfrd-sec:LQDTY AJSTD, pfrd-sec:MARGINAL, pfrd-sec:MAX, pfrd-sec:NET EQTY, pfrd-sec:NONE, pfrd-sec:OMEGA RATIO, pfrd-sec:OTH, pfrd-sec:PROFIT, pfrd-sec:RESIDUE, pfrd-sec:RISK LEVERAGE, pfrd-sec:SCENARIO, pfrd-sec:SEMI DVTN, pfrd-sec:SHARPE, pfrd-sec:SKEWNESS, pfrd-sec:SORTINO, pfrd-sec:STD, pfrd-sec:STRESS, pfrd-sec:XPCTD SHRTFALL

References

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