Market Risk Data Model

The Accelerator is delivered with a default data model for all the data required to support, VaR-ES analytics, sensitivities, and PnL Explain. These components share the same foundations (static data, portfolio hierarchy, and so on) but each use different datastore configurations and a separate cube.

Market Risk Accelerator components

The Market Risk Accelerator comprises several components, each with its own cube. The following table lists these cubes, and provides links to their associated schemas, datastore definitions and input file formats.

Component Input file formats Datastore definition Cube schema
VaR-ES Cube * Trade PnLs
* Trade Attributes
* Scenarios
* FX Rates
* Market data
* Reference data input files
VaR-ES datastore definitions MRA Dimensions
Sensitivities Cube In addition to VaR-ES Cube file formats, see the following:
* Sensitivities
* RiskFactorCatalog
* StaticTenors
* Static Maturities
* Static Moneyness
Sensitivities datastore definitions
PnL Cube In addition to Sensitivities file formats, see the following:
* Profit & Loss
PnL datastore definitions

Input file formats

Input data file formats using a CSV style are provided. For further information, see Input File Formats

Datastore definitions

For further information, see MRA Datastore Configuration

Predefined cubes

It is possible to have predefined cubes (for each of the Components) with all Measures set in advance or to let users dynamically select Measures and instantiate them on-the-fly in the cubes (ActiveMeasures).

A flexible set of attributes and dimensions (hierarchies, dimensions, levels of the cube structure) is supplied for each of the Accelerator components (cubes).

For further information, see the Cube Reference.

ETL (Extract, transform, and load)

As part of the data loading process, the ETL layer handles data manipulation between the file format and the internal datastore structure. For the various files, this can include Vectorization, Interpolation, and Normalization.