Parameter Sets What-If Widget
The Accelerator supports multiple (hierarchical) sets of supervisory parameters:
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FRTB regulation contains numerous parameters, correlation factors and risk weights
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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 |
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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
Managing the Parameter Set simulation
Use the What-If Management tools to manage your branches and review your simulation runs.
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