PropagateAboveReference (Experimental)

EXPERIMENTAL(!)

This context value enables the SBM Risk Charge Pro-Rata and the Portfolio Risk Charge Pro-Rata measures to return aggregated values above the Reference Level set by the ReferenceLevel context value.

This is an experimental feature, as the aggregated values are only meaningful for certain choices of the ReferenceLevel and ProRataHierarchy context values.

By default, the feature is disabled and PropagateAboveReference (Experimental) is set to false, in which case the values above the Reference Level are null. When the context value is set to true, the values above the Reference Level are the sum of the values at the Reference Level.

Consider this example:

• The Risk Classes hierarchy is on the columns and selected as the ReferenceLevel context value.
• The BookHierarchy hierarchy is on the rows and selected as the ProRataHierarchy context value.
• The SBM Risk Charge Pro-Rata measure is on the columns.
• The Correlaion Scenario = “high” filter is added to the widget to ensure all numbers displayed corredpond to the same correlation scenario.

Result:

• The first columns displays the new aggregated values of the SBM Risk Charge Pro-Rata measure at the “Total” level, corresponding to all Risk Classes.
• All other columns, corresponding to a specific Risk Class are unaffected by the context value.
• The Total column shows the sum of all other columns at every row.