FRTB P&L Attribution Tests and Backtesting

Accelerator Cube Specification and File Format

Overview

This page describes the implementation of P&L Attribution Tests and Backtesting in the ActiveViam FRTB Accelerator.

Supported Use Cases

The P&L Attribution Tests and Backtesting have been designed to enable the following use cases.

  1. Monitoring historical VaR and P&L values at the desk and firm-wide 1 levels, as required by regulation.
  2. Calculating desk and firm-wide VaR values from trade level VaR P&L vectors.
  3. Customising 2 trade level inputs and analytics to support analysing recent exceptions/outliers.

Definitions 3

Cube Overview

There are two cubes which are tied together via FRTBCombinedCube:

The PL Cube:

The PL Summary Cube:

Combined Cube:

PL Cube

The PL cube is aimed at calculating desk and firm-wide VaR values from trade level VaR P&L vectors and, with customisation, supporting the analysis of recent exceptions/outliers.

Input Files

PL_VaR_Vector.csv

File pattern match: PL_VaR_Vector*.csv The VaR P&L vectors

Field Type Description
AsOfDate Date [YYYY-MM-DD] The as-of date (T-1).
Trade String The trade ID (or Position ID for fungible instrument)
Currency String Currency of VaR P&L Vector values
Actual PL Double Actual P&L value (for desk, as-of T-1)
Hypothetical PL Double Hypothetical P&L value (for desk, as-of T-1)
Theoretical PL Double Risk-Theoretical P&L value (for desk, as-of T-1)
PL Vector VaR P&L vector (for desk, as-of T-1)
PL_VaR_Scenario.csv

File pattern match: PL_VaR_Scenario*.csv A description of the VaR scenarios.

Field Type Description
AsOfDate Date [YYYY-MM-DD] The as-of date (T-1).
Index Unsigned Integer The index of the VaR scenario (within the VaR P&L vector)
Scenario String The name of the VaR scenario
Shared files

The following files are shared with the IMA cube and used to map the trades into the organisation hierarchies.

Hierarchies

Hierarchy Level Comments
Dates (slicing hierarchy) AsOfDate The as-of date (T-1). From the AsOfDate field in the VaR P&L Vectors file.
Scenarios (analysis hierarchy) Scenario The scenario name. Used for expanding the VaR P&L Vectors.

Additionally, the following organisational hierarchies are shared with the IMA cube:

PL Summary Cube

The PL Summary cube is aimed at desk and firm-wide monitoring of the P&L Attribution Tests and Backtesting.

It contains aggregated data with at least a year of history including:

This cube can be customised to add KPIs to monitor the above metrics, and workflows to manage exceptions.

Input Files

PL_Summary.csv

File pattern match: PL_Summary*.csv

This file contains all the data for the PL Summary cube.

Field Type Description
AsOfDate Date [YYYY-MM-DD] The as-of date (T-1).
Book String The Book
Legal Entity String The Legal Entity
CCY String Currency of P&L and VaR values
Actual P&L Double Actual P&L value (for desk, as-of T-1)
Hypothetical P&L Double Hypothetical P&L value (for desk, as-of T-1)
Theoretical P&L Double Risk-Theoretical P&L value (for desk, as-of T-1)
PL Vector VaR P&L vector (for desk, as-of T-1)

The key fields for this file are AsOfDate, Book and Legal Entity .

Hierarchies

Hierarchy Level Comments
Dates (slicing hierarchy) AsOfDate The as-of date (T-1). From the AsOfDate field in the input file.
Book (slicing hierarchy)** Desk The Book field in the input file.
Legal Entity (slicing hierarchy)** Legal Entity The Legal Entity field in the input file.
Lookback (analysis hierarchy) Lookback The past date. Used for expanding the P&L values for P&L Attribution Test analytics.

Measures

Both Cubes share the same measures which are seamlessly tied together within the FRTBCombinedCube.

FRTBCombinedCube Context Values


  1. All IMA desks (i.e. excluding SA desks), as per the FAQ: BCBS 395 section 2.7 Q1. ↩︎

  2. This use case relies heavily on custom inputs (for example, asset class) beyond what can be included in the Accelerator. ↩︎

  3. Based on BCBS 352 paragraph 183 and Appendix B; BCBS 395/437 FAQs; and clarifications in BCBS 436. ↩︎

  4. From BCBS 352 Appendix B: “the mark-to-market value of the trading desk’s instruments derived from the bank’s pricing models including all risk factors”. ↩︎

  5. Excluding fees and commissions. ↩︎

  6. Assuming no trading activity (from T-2 to T-1). ↩︎

  7. Not required by regulations, but mentioned in BCBS 352 paragraph 182 (b) as something the supervisor may request. ↩︎

  8. According to the model ↩︎