Parameter Sets What-If Widget

The Accelerator supports multiple (hierarchical) sets of supervisory parameters:

  • FRTB regulation contains numerous parameters, correlation factors and risk weights

  • Additional parameter sets from a customisation

    These parameter values are soft coded in the FRTB Accelerator which means that they can be overridden at query time without the need to rebuild or redeploy the application.

You can use the Parameter Sets widget to run What-If simulations on parameter values and immediately visualise the impact on screen. This enables you to analyse calculations under different parameter values side-by-side.

Overview

The Parameter Sets widget provides the following features:

Element Description
Category Select a table of parameters from the datastore
Parameter Set Select a version of parameter definitions (e.g. BCBS or BCBS-457)
Mode Toggle between creating a new What-If branch and comparing two existing branches

Lineage

Toggle between the following display options:

* (default) only parameters that have the specific label you set in the Parameter Set (e.g. BCBS-457)

* include parameters inherited from previous regulation versions
View branch Selects the base branch for your new branch or comparison. By default the base branch is master for comparisons and always master when creating a new branch.
Mode branch Select the comparison branch or enter the name of your new branch (depending on the Mode you are in)

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Launching the Parameter Set Widget

Running a simulation

  1. From the Category dropdown list, select a store.

  2. If required, you can use the arrows in the column header to change the order of the table.

  3. From the Parameter Set dropdown list, select the parameter set you require.

  4. (optional) Toggle the Lineage selector if you want to also display the parent parameter set in addition to the selected set.

  5. Set Mode to New to create a new What-If branch.

  6. In the Mode branch field, enter a name for your new branch.

The current values for each parameter in the selected parameter set are displayed for the master branch and your new branch.

You can now make changes.

  1. To find the parameter you require, use the magnifying glass search filter by clicking on the magnifying glass on the column header.

  2. For each parameter, enter your changes directly in the corresponding value field on your new branch. The system highlights changed rows in yellow, to indicate they are not yet final.

  3. Click View Summary to review your changes. You have the following options:

    • Discard: Removes all your changes and reloads the default values

    • Keep Editing: Closes the summary window and returns you to the parameter set table for you to continue your modifications

    • Create WhatIf: Creates your new branch with the values you changed.

  4. Once you are happy with your changes, click Create WhatIf.

The widget creates and displays your new branch with the values you changed. Changed rows are highlighted in yellow (they will turn blue once you submit the changes).

You can now compare your new branch to master.

After a successful commit, the Parameter Set widget automatically switches to Compare mode and displays the committed changes made in the new branch. Changed values are highlighted in blue, to indicate the modifications are final.

  • (optional) Toggle the Lineage selector if you want to also display values that were changed in the parent parameter set in addition to the selected set.

Managing the Parameter Set simulation

Use the What-If Management tools to manage your branches and review your simulation runs.

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