Profit & Loss Cube Schema
In a Nutshell...
This page defines the FRTB Profit & Loss 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 Dates is a Slicing Hierarchy, containing one Time type Level. |
Y - AsOfDate |
Epoch Dimension
|
Dimension
|
Hierarchy |
Level (Use links to jump to the correct table in the Page: "The Internal Models Approach Datastore Definition") |
|---|---|---|
|
Epoch |
Epoch Slicing Hierarchy Please note that Epoch is a Slicing Hierarchy, containing one Time type Level. |
N - What-If: Native Level in ActivePivot
|
|
N - Epoch: 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
|
Scenarios Scenarios is an Aggregatable Hierarchy.
|
Y - Scenario The risk weight that is used to compute the required curvature shocks. |
Copyright © 2019 ActiveViam Ltd. All rights reserved.