Internal Models Approach Cube Schema
In a Nutshell...
This page defines the FRTB Internal Models Approach Cube, and and describes its dimensions, hierarchies, and levels.
Booking Dimension
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Dimension
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Hierarchy |
Level (Use links to jump to the correct table in the Page: "The Global Datastore Definition") |
|---|---|---|
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Booking |
Books Books is an Aggregatable Hierarchy. |
The book to which the trades have been assigned. |
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Categories Categories is an Aggregatable Hierarchy. |
The desk category that is the grouping for the desk. |
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Desks Desks is an Aggregatable Hierarchy. |
The name of the desk. |
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FRTB Model FRTB Model is an Aggregatable Hierarchy. |
An acronym determining whether a desk is SA or IMA. |
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Trades Trades is an Aggregatable Hierarchy. |
The unique identifier for a trade/position. |
Currencies Dimension
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Dimension
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Hierarchy
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Level (Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition") |
|---|---|---|
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Currencies
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Currency Currency is an Aggregatable Hierarchy. |
The currency of the risk factor |
Dates Dimension
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Dimension
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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 with a single Level of type Time.. |
AsOfDate
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Epoch Dimension
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Dimension |
Hierarchy |
Level |
|---|---|---|
|
Epoch |
Epoch Slicing Hierarchy Please note that this Hierarchy is a Slicing Hierarchy, containing a Time type Level. |
What-If : This is a Native Level in ActivePivot |
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Epoch : This is a Native Level in ActivePivot |
Organization Dimension
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Dimension
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Hierarchy |
Level (Use links to jump to the correct table in the Page: "The Global Datastore Definition") |
|---|---|---|
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Organization
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BookHierarchy Organization hierarchy where book is the leaf level. BookHierarchy is an Aggregatable Hierarchy. |
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... |
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... |
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Legal Entities Single leveled hierarchy with all the nodes from the LegalEntityHierarchy. Legal Entities is an Aggregatable Hierarchy. |
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LegalEntityHierarchy Organization hierarchy where any legal entity node matches the legal entity of a trade. LegalEntityHierarchy is an Aggregatable Hierarchy. |
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| Level 2 | ||
| ... | ||
| ... | ||
| Level 5 |
Parameter Sets Dimension
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Dimension
|
Hierarchy |
Level (Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition") |
|---|---|---|
|
Parameter Sets |
Parameter Set Slicing Hierarchy Please note that this Hierarchy is a Slicing Hierarchy. |
Parameter Set The parameter set used in the calculations. |
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. |
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Data Sets Data Sets is an Aggregatable Hierarchy. |
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Idiosyncratic Idiosyncratic is an Aggregatable Hierarchy. |
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Liquidity Horizons Liquidity is an Aggregatable Hierarchy. |
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Model Model is an Aggregatable Hierarchy. |
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Risk Classes Risk Classes is an Aggregatable Hierarchy. |
The specification of the risk class to which the risk belongs. This can be any one of the following:
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Risk Factors Risk Factors is an Aggregatable Hierarchy. |
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Scenarios Scenarios is an Aggregatable Hierarchy with a single Level of type Time. |
The risk weight used to compute the provided curvature shocks. |
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