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VaR-ES Cube

As the backbone of the Market Risk Accelerator, the VaR-ES component provides the functionality to calculate VaR and similar measures (including Marginal VaR and Expected Shortfall). The cube provides:

  • A default data model for market risk

  • Reference implementation

Default data model

Key points at a glance:

  • Each store is fed by the relevant input file

  • The stores are linked to the TradeAttributes store as the base store

  • Each store pushes data to the VaR-ES cube

Input files

Out of the box, the Market Risk Accelerator will work with a predefined file format, CSV. If you produce your data in this format, you can load and use the Accelerator with no customisations needed. However, you can of course edit and configure the Accelerator to work with any format or file, database, source etc that ActivePivot is compatible with.

Sample CSV input files are included in the source distribution. These files are loaded during testing of the reference implementation and provide examples of each of the file types.

The input data consists of trade-level and position-level vectors of PnL simulations. The reference data model proposes a breakdown by risk factor (which may or may not be used) and a single set of PnLs per trade.

  • VaR-ES calculations: Input data consists of trade-level/position-level vectors of PnL simulations. The reference data model proposes a breakdown by risk factor - which may or may not be used - and a single set of PnLs per trade

  • Legal entity, desk and book hierarchies: The reference implementation is delivered with a single organizational hierarchy, however , clients might have many as long as there is one full set per COB date.

  • Market data: Time series of FX rates are required to support multi-currency conversion. The reference currency is controlled by a context value that the user can set at query time. The Accelerator has to be supplied with FX rates which can be either explicit for every currency pair or expressed via a cross currency.

  • Trade attributes: Contains reference data for all trades and positions for each date in the cube

  • Counterparty and country reference data

For full details of the input files, see Input file formats in the Cube Reference Guide

Datastore definitions

The datastore schema contains stores arranged in a star schema centred on the TradeAttributes store as the base store.

View datastore tables

For a full description of the fields in each store and how they map to the cube fields, see VaR-ES datastore definitions in the Cube Reference Guide

Cube dimensions and measures

The VaR/ES cube allows you to query and calculate a wide variety of VaR related measures (VaR, Component VaR, Incremental, ES etc) from the underlying measures.

For a full description of the dimensions and measures provided in the reference implementation of the VaR-ES cube, see the Cube Reference Guide.

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