21 April 2011
We would like to inform our users that starting from April 20th, the set of risk factors for the yield curves featured in the Risksize dataset will be extended. More precisely, we will include 230 new risk factors which are divided as follows:
- 31 risk factors concerning the short end of government and swap curves which are already included in the service;
- 73 risk factors concerning 5 new swap and 1 new government curves;
- 133 risk factors concerning 15 new sector spread curves. These represent a new kind of curve which allow one to include specific risks in the calculation of risk measures for fixed income securities.