Bookmarks

The CVA Risk Capital Accelerator is delivered with a default set of bookmarks, which are located in the folder titled “ActiveViam CVARC”.

By clicking on a dashboard title, the user can launch and view a pre-configured bookmark that represents a reference view of data. ActiveViam intends for these bookmarks to assist new users and implementation teams to learn the product.

ActiveViam expects that business users will create dashboards tailored to their daily workflows and needs. Please refer to the ActiveUI User Guide for additional information about dashboards.

Finding Bookmarks

The “Bookmark Tree” widget is located in a push/pull drawer accessible via the “…” icon on the top left of the CVARC ActiveUI.

Please refer to the ActiveUI User Guide for additional information about the “Bookmarks Tree” widget functionality.

Scope

The reference bookmarks are organized into these folders:

• Basel Framework provides calculation walk-throughs for the BA-CVA and SA-CVA approaches, as well as the aggregate capital requirement calculation in the CVA Risk Capital Accelerator. The titles in this section include MAR50 paragraph references. Implementation teams can utilize these bookmarks to gain familiarity with the implemented business semantics as well as validate the calculations.
• Beyond Basel provides bookmarks demonstrating the features of the CVA Risk Capital Accelerator, that go beyond the regulatory calculations, such as What-If.
• Day to Day analysis provides dashboard examples that illustrate business as usual capabilities within the CVA Risk Capital Accelerator. These bookmarks demonstrate layouts and data presentation widgets available for daily analysis and investigations.
• Filters provides examples of saved filters, which can be dragged into the “Filters” widget on other dashboards. You can find filters on [TradePosition].[Trades] and [TradePosition].[CapitalTreatment].
• QIS provides reports similar to the Basel III Monitoring workbook layout for CVA, aiming to assist with the data collection exercises.

Example

The following is an example of a bookmark illustrating the aggregation of exposures at default (EAD) up to standalone risk capital (SCVA) as per the formula in paragraph [MAR50.15]. Users can access the bookmark by performing one of the following:

• search for “SCVA” keyword,
• search for “50.15” reference,
• navigate to “ActiveViam CVARC” -> “Basel Framework” -> “[MAR50] CVA Framework” -> “BA-CVA” -> “[50.15] SCVA”.

The left side of the dashboard contains “Quick Filters” widgets allowing users to select a date, a netting set and/or a counterparty. You can read more about “Quick Filters” in the ActiveUI User Guide.

The “Pivot Table” widget in the middle of the dashboard displays the SCVA measure as well as inputs to the calculation - BA Risk Weight, Effective Maturity, EAD and Discount Factor EAD. By right-clicking a cell within the pivot table and selecting the appropriate pop-up menu item, users can export the data to clipboard or to a csv file.

The notes on the right contain formulae and comments from the development team. Users can use Markdown Latex Editor widgets within dashboards to provide notes.