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 customization. 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.
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 CRR2) |
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) * 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) |
Launching the Parameter Set Widget
The following sections explain how to set up and run a simulation.
1. Setting up your simulation
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From the Category dropdown list, select a store.
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If required, you can use the arrows in the column header to change the order of the table.
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From the Parameter Set dropdown list, select the parameter set you require.
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(optional) Toggle the Lineage selector if you want to also display the parent parameter set in addition to the selected set.
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Set Mode to New to create a new What-If branch.
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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.
2. Making your changes
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To find the parameter you require, use the search filter by clicking on the magnifying glass on the column header.
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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.
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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 to continue your modifications
- Create WhatIf: Creates your new branch with the values you changed
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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.
3. Comparing your changes
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 WhatIf Manager to manage your branches and review your simulation runs.