BlackRock Aladdin Risk Report

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "$id": "https://raw.githubusercontent.com/api-evangelist/blackrock/main/json-schema/blackrock-risk-report-schema.json",
  "title": "BlackRock Aladdin Risk Report",
  "description": "Schema for a risk analytics report from BlackRock Aladdin",
  "type": "object",
  "properties": {
    "reportId": { "type": "string" },
    "portfolioId": { "type": "string" },
    "asOfDate": { "type": "string", "format": "date" },
    "currency": { "type": "string" },
    "riskMetrics": {
      "type": "object",
      "properties": {
        "var95": { "type": "number", "description": "95% Value at Risk" },
        "var99": { "type": "number", "description": "99% Value at Risk" },
        "expectedShortfall": { "type": "number" },
        "annualizedVolatility": { "type": "number" },
        "trackingError": { "type": "number" },
        "beta": { "type": "number" },
        "durationYears": { "type": "number" },
        "modifiedDuration": { "type": "number" }
      }
    },
    "factorExposures": {
      "type": "array",
      "items": {
        "type": "object",
        "properties": {
          "factorName": { "type": "string" },
          "exposure": { "type": "number" },
          "contribution": { "type": "number" }
        }
      }
    },
    "stressTests": {
      "type": "array",
      "items": {
        "type": "object",
        "properties": {
          "scenarioName": { "type": "string" },
          "pnlImpact": { "type": "number" },
          "percentImpact": { "type": "number" }
        }
      }
    }
  },
  "required": ["reportId", "portfolioId", "asOfDate"]
}