What-If Analysis

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The Accelerator uses native ActivePivot What-If capabilities to deliver powerful simulation tools in five main areas: Change book hierarchy, Desk reclassification (IMA/SA), Trade scaling, Datastore changes, and Parameter set changes (including correlation and risk weight).

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

  See Reclassifying portfolios

• 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

  See Parameter Sets What-If Widget

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: View the audit columns (submission name, created by, creation date, execution date, status, branch name) and set the table update frequency (right-click the table to refresh the grid or to turn on real-time table refresh)

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 Javadoc.