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Benchmark Results 4.1

Approach: “IMA-DRC”

Please see the DRC Vectors section on DRC Vectors length and density.

IMA-DRC: Dataset Size Breakdown

MDX:

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"  
 Member [Measures].[Obligors] AS Count(
  Descendants(
    [Default Risk Charge].[DRC Obligor].CurrentMember,
    [Default Risk Charge].[DRC Obligor].[DRC Obligor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Obligors]
  } ON COLUMNS
  FROM [IMADRCCube]

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Obligors	24,903	37,311	49,653
Trades	311,029	607,131	1,184,404
Count	455,465	891,267	1,743,215

IMA-DRC: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	41.04 GiB	39.13 GiB	56.32 GiB

Direct Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	79.10 GiB	121.27 GiB	190.42 GiB

IMA-DRC: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	9 Min 56 Sec	14 Min 28 Sec	28 Min 10 Sec
32	10 Min 26 Sec	14 Min 48 Sec	21 Min 51 Sec
64	9 Min 24 Sec	13 Min 21 Sec	21 Min 5 Sec

IMA-DRC: Query Performance

Query: “DRC IMA (Spot)”

MDX:

SELECT
  [Measures].[DRC - IMA Spot] ON COLUMNS
  FROM [IMADRCCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	5.32 Sec	7.14 Sec	12.93 Sec
32	4.69 Sec	6.60 Sec	6.35 Sec
64	2.71 Sec	3.91 Sec	4.89 Sec

Query: “DRC IMA”

MDX:

SELECT
  [Measures].[DRC - IMA] ON COLUMNS
  FROM [FRTBCombinedCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	5.74 Sec	7.51 Sec	13.30 Sec
32	5.06 Sec	6.94 Sec	6.73 Sec
64	3.06 Sec	4.35 Sec	5.26 Sec

Approach: “IMA-ES”

IMA-ES: Dataset Size Breakdown

MDX:

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"  
 Member [Measures].[Risk Factors] AS Count(
  Descendants(
    [Risk].[Risk Factors].CurrentMember,
    [Risk].[Risk Factors].[Risk Factor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Risk Factors]
  } ON COLUMNS
  FROM [InternalModelApproachCube]

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Trades	1,687,770	3,375,270	6,750,270
Risk Factors	35,297	52,922	70,547
Count	28,192,010	56,379,510	112,754,510

IMA-ES: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	14.19 GiB	25.51 GiB	38.82 GiB

Direct Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	77.92 GiB	119.58 GiB	239.22 GiB

IMA-ES: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	5 Min 11 Sec	10 Min 34 Sec	23 Min 44 Sec
32	4 Min 37 Sec	9 Min 38 Sec	20 Min 20 Sec
64	5 Min 7 Sec	10 Min 1 Sec	20 Min 46 Sec

IMA-ES: Query Performance

Query: “IMA ES (Spot)”

MDX:

SELECT
  [Measures].[CA Spot] ON COLUMNS
  FROM [InternalModelApproachCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	2.87 Sec	5.75 Sec	13.36 Sec
32	2.02 Sec	3.66 Sec	7.11 Sec
64	1.50 Sec	2.90 Sec	5.59 Sec

Query: “IMA ES”

MDX:

SELECT
  [Measures].[CA] ON COLUMNS
  FROM [FRTBCombinedCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	6.57 Sec	12.97 Sec	30.55 Sec
32	4.86 Sec	8.77 Sec	15.27 Sec
64	3.22 Sec	5.55 Sec	10.82 Sec

Approach: “SA-SBM”

SA-SBM: Dataset Size Breakdown

MDX:

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"  
 Member [Measures].[Risk Factors] AS Count(
  Descendants(
    [Risk].[Risk Factors].CurrentMember,
    [Risk].[Risk Factors].[Risk Factor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"  
 Member [Measures].[Underlyings] AS Count(
  Descendants(
    [Market Data].[Underlying].CurrentMember,
    [Market Data].[Underlying].[Underlying]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Risk Factors],
    [Measures].[Underlyings]
  } ON COLUMNS
  FROM (
    SELECT
    Except(
      [Risk].[Risk Measures].[Risk Measure].Members,
      {
        [Risk].[Risk Measures].[ALL].[AllMember].[DRC]
      }
    ) ON COLUMNS
    FROM [StandardisedApproachCube]
  )

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Trades	6,580,329	13,160,329	26,320,329
Underlyings	107,720	161,470	215,220
Risk Factors	171,347	256,847	342,347
Count	22,901,145	45,801,145	91,601,145

SA-SBM: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	52.67 GiB	93.04 GiB	159.28 GiB

Direct Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	13.12 GiB	24.05 GiB	46.44 GiB

SA-SBM: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	4 Min 54 Sec	9 Min 43 Sec	19 Min 14 Sec
32	4 Min 48 Sec	9 Min 7 Sec	22 Min 12 Sec
64	4 Min 53 Sec	11 Min 58 Sec	26 Min 0 Sec

SA-SBM: Query Performance

Query: “SA SBM”

MDX:

SELECT
  [Measures].[SBM Risk Charge] ON COLUMNS
  FROM [StandardisedApproachCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	1.03 Sec	1.24 Sec	1.52 Sec
32	1.09 Sec	1.12 Sec	1.44 Sec
64	0.93 Sec	1.26 Sec	1.54 Sec

Approach: “SA-DRC”

SA-DRC: Dataset Size Breakdown

MDX:

WITH
 Member [Measures].[Trades] AS Count(
  Descendants(
    [Booking].[Trades].CurrentMember,
    [Booking].[Trades].[TradeId]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"  
 Member [Measures].[Risk Factors] AS Count(
  Descendants(
    [Risk].[Risk Factors].CurrentMember,
    [Risk].[Risk Factors].[Risk Factor]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"  
 Member [Measures].[Underlyings] AS Count(
  Descendants(
    [Market Data].[Underlying].CurrentMember,
    [Market Data].[Underlying].[Underlying]
  ),
  EXCLUDEEMPTY
), FORMAT_STRING = "#,###"
SELECT
  NON EMPTY {
    [Measures].[contributors.COUNT],
    [Measures].[Trades],
    [Measures].[Risk Factors],
    [Measures].[Underlyings]
  } ON COLUMNS
  FROM [StandardisedApproachCube]
  WHERE [Risk].[Risk Measures].[ALL].[AllMember].[DRC]

Fact Level	Small Dataset Facts	Medium Dataset Facts	Large Dataset Facts
Trades	6,432,500	12,865,000	25,730,000
Underlyings	26,500	39,750	53,000
Risk Factors	2,741,467	4,117,592	5,493,717
Count	8,757,500	17,515,000	35,030,000

SA-DRC: Environment Memory Usage

Heap Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	18.33 GiB	30.27 GiB	55.21 GiB

Direct Memory Usage

CPUs	Small Dataset	Medium Dataset	Large Dataset
Average	11.24 GiB	20.67 GiB	42.70 GiB

SA-DRC: Initial Data Load Times

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	1 Min 24 Sec	2 Min 40 Sec	5 Min 58 Sec
32	1 Min 17 Sec	2 Min 30 Sec	5 Min 24 Sec
64	1 Min 23 Sec	2 Min 55 Sec	5 Min 35 Sec

SA-DRC: Query Performance

Query: “SA DRC”

MDX:

SELECT
  [Measures].[Default Risk Charge] ON COLUMNS
  FROM [StandardisedApproachCube]

Number Of CPUs	Small Dataset	Medium Dataset	Large Dataset
16	4.00 Sec	6.13 Sec	6.97 Sec
32	3.24 Sec	4.88 Sec	3.67 Sec
64	3.22 Sec	2.16 Sec	5.93 Sec