How to Prepare Data for QIS
Congratulations on your data preparation assignment! Data preparation is a crucial step. In this tutorial we’ll guide you through the input data requirements.
The current version of FRTB SA QIS provides you with the functionality to compute the SA approach capital charges from input sensitivities and reference data.
The three main types of data consumed by FRTB SA QIS are:
- Risk numbers and FX rates
- Static attributes
- Configuration files
As a minimum, you only need to update the first group of files. Read on to learn more.
Viewing example data
You may want to try running the application using our sample data set: sample-data.zip.
Replacing risk numbers and FX rates
As a minimum, you need to replace the following files with your own data:
| File | Description | Notes |
|---|---|---|
**/*.crif |
Tab-separated text file delivering the sensitivities. Input files should be created according to the standard ISDA CRIF (Common Risk Interchange Format). | The solution will look up the CRIF file using the name pattern **/*.crif. Therefore you can split your dataset into separate files, for example, “EQ_DELTA.crif”, “EQ_VEGA.crif”. |
**/Trade_Attributes*.csv |
Comma-separated text file, listing all positions, their notionals, PVs and other attributes, enabling the RRAO calculations, as an example. For the file format and more information, see: Trade Attributes. |
|
**/FXData*.csv |
Comma-separated text file delivering FX rates. For the file format and FX conversions, see here. |
Important:
- It is critical that there are no duplicate records in the data, so please pay attention to the key fields (as indicated in the input file specification).
- We recommend starting with a smaller data set, for example, with just one risk type and a few positions. Once you are comfortable with the whole process you can then load the whole portfolio.
Understanding your data
- For tips on running a sanity check on your data, see: Data Sanity Check.
- If you would like to learn more about the data transformations or how we interpret the BCBS 457, see the Atoti FRTB Interpretation and Implementation of BCBS 457.
Replacing static attributes
Optionally, you can provide the Book structure, Desk Description and Legal Structure. With the first two, you can map positions to books, desks, and tag desks for the “SA” and “IMA” FRTB Models.
Uploading configuration files
All other files provided in the sample data that were not mentioned above, are required by the calculations, so please upload them together with your risk data. These files are used to set risk weights, correlations and other parameters essential for the calculations.
Risk Aggregation
In the analytical app you can view the results using the pre-defined bookmarks and drill down through the numbers using “measures” and “dimensions”. For details of the measures and dimensions available in this section, see: Cube.