Internal Models Approach DRC Cube Schema

In a Nutshell...

This page defines the FRTB Internal Models Approach Cube, and describes its dimensions, hierarchies, and levels.

Booking Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition")

Booking

Books

Books is an Aggregatable Hierarchy.

Y - Book

The book to which the trades have been assigned.

Categories

Categories is an Aggregatable Hierarchy.

Y - Category

The desk category that is the grouping for the desk.

Desks

Desks is an Aggregatable Hierarchy.

Y - Desk

The name of the desk.

FRTB Model

FRTB Model is an Aggregatable Hierarchy.

Y - FRTB Model

An acronym determining whether a desk is SA or IMA.

Trades

Trades is an Aggregatable Hierarchy.

Y - TradeId

The unique identifier for a trade/position.

Dates Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition")

Dates

Date

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy containing a single Level of type Time.

Y - AsOfDate

Timestamp (at close of business) for the data.

Default Risk Charge Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition")

Default Risk Charge

DRC Obligor

DRC Obligor is an Aggregatable Hierarchy.

Y - DRC Obligor

Obligor for DRC netting.

DRC Seniority

DRC Seniority is an Aggregatable Hierarchy.

Y - DRC Seniority

Seniority for DRC netting.

Epoch Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition")

Epoch

Slicing Hierarchy

Please note that this Hierarchy is a Slicing Hierarchy, including a type Time Level.

What-If: This is a Native Level in ActivePivot

Epoch: This is a Native Level in ActivePivot

Organization Dimension

Dimension	Hierarchy	Level (Use links to jump to the correct table in the Page: *"The Internal Models Approach Datastore Definition")*
Organization	BookHierarchy Organization hierarchy where book is the leaf level. BookHierarchy is an Aggregatable* Hierarchy.*	Y - Level 1
		Y - Level 2
		...
		...
		Y - Level 15
	Legal Entities Single leveled hierarchy with all the nodes from the LegalEntityHierarchy. Legal Entities is an Aggregatable* Hierarchy.*	Y - Legal Entity
	LegalEntityHierarchy Organization hierarchy where any legal entity node matches the legal entity of a trade. LegalEntityHierarchy is an Aggregatable* Hierarchy.*	Y - Level 1
		Y - Level 2
		...
		...
		Y - Level 5

Risk Dimension

Dimension

Hierarchy

Level

(Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition")

Risk

Currencies

Currencies is an Aggregatable Hierarchy.

Y - Currency

Currency of the Risk Factor.