Cubes

There are two cubes which are tied together via FRTBCombinedCube:

• The PLCube for recent data at the trade level (where investigations and sign-off can take place)
• The PLSummaryCube for historical data at the book and legal entity levels (to fill out one-year history)
• The FRTBCombinedCube seamlessly ties the two together.

PL Cube

The PL Cube:

• Collects recent data at the trade (or position) level, including the VaR P&L vectors.
• It is expected that this cube will be customized to support analysing exceptions/outliers.
• PL Cube data can be exported via PLCubeExport DEE Template Order found within the directory frtb-starter/src/main/resources/DEETemplateOrders/PLCubeExport.json For details, see Using DEE Template Orders

PL Summary Cube

The PL Summary Cube:

• Collects aggregated data with a long history (at least the 1 year required by the regulations) at the desk and firm-wide levels. Including:
  • Daily P&L values (actual, hypothetical, and risk-theoretical).
  • Daily VaR P&L vectors

Combined Cube

The Combined Cube:

• Includes the analytics required for P&L Attribution Tests and Backtesting. Including:
  • The Spearman correlation metric; i.e. the correlation between Risk-Theoretical P&L and Hypothetical P&L.
  • The Kolmogorov-Smirnov test metric, i.e. the similarity of the distributions of Risk-Theoretical P&L and Hypothetical P&L.
  • A count of the number of exceptions when comparing the Actual P&L and Hypothetical P&L against the VaR at the 97.5% and 99% confidence levels.