About What-If analysis
The Accelerator uses native ActivePivot What-If capabilities to deliver powerful simulation tools in five main areas; trade level simulations, portfolio reclassification, desk eligibility (IMA/SA), datastore changes, and correlation, risk weight, and parameter changes
What-If is applicable at any level in the hierarchy and you can drill down and propagate the effect of the what-if simulation to the lower levels.
Types of What-If analysis
-
Portfolio reclassification - simulates changes in the parent/child hierarchy
-
Desk reclassification
See Change Desk What-If Tool .
-
Scaling: Adjust the trade data by a given percentage or an absolute amount
See FRTB Trade Scaling.
-
Datastore changes
See DSViewer .
-
Parameter set changes
Branches
Each simulation you run creates a separate cloned branch of the master. However, as the What-If is purely for simulation purposes, these branches never impact the master branch.
To manage your branches and the simulations on them, use the widgets in the WhatIf Management category:
-
Branch Manager: View and manage your branches
-
WhatIf Manager: Set the refresh frequency on your simulations
Audit Trail
In the reference implementation of the Accelerator, there is no audit trail or persistence for the What-If simulations. Instead, the What-If branches are cleaned-up on a regular basis depending on your configuration.
Customising the What-If configuration
The What-If framework has been designed to be adapted and configured based on your use cases. For more information, see the FRTB Accelerator