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What-If Analysis

Atoti Market Risk uses native Atoti What-If capabilities to deliver powerful simulation tools in three main areas for the VaR/ES and Sensitivities components; portfolio reclassification, substitution, and scaling.

What-If is applicable at any level in the hierarchy and you can drill down and propagate the effect of the what-if simulation to the lower levels.

Types of What-If analysis

Roll over - override current data with data from a specific date

  • For VaR/ES: Substituting PnL vectors of the current data with the previous day’s data. Rollover candidates are based on all previous dates available in the cube. For the scenarios of the PnL vector for which there is no data (that is, X days discrepancy between D and D-X) the value is set to 0.

  • For Sensitivities: Replacing sensitivities data for a given perimeter with proxy data

See Roll over PnL vectors

Scaling: Adjust the trade data by a given percentage or an absolute amount

  • For VaR/ES: Trade PnL or PnL scenario scaling - The scaling factor is either a percentage shift up or down or just initialising the vector to 0.

  • For Sensitivities: Trade sensitivities scaling - by a percentage or absolute amount.

See Scaling

File upload

  • Create or append a WhatIf scenario by uploading CSV files into the cube.

See File Upload

Branches

Each simulation you run creates a separate cloned branch of the master. However, as the What-If is purely for simulation purposes, these branches never impact the master branch.

WhatIf Manager

To manage your branches and the simulations on them, use the WhatIf Manager.

To open the WhatIf Manager, drag its icon from the top menu to your dashboard:

WhatIf Manager icon

The widget displays a list of your branches:

WhatIf Manager screen

You can view the audit columns (Submission Name, Created by, Creation Date, Execution Date, Status, Branch Name, Operation), and remove a branch by clicking the Delete button.

Clicking the + button in front of a row displays more details about your branch. Here you can also run a diff between the changes on your WhatIf branch and the master branch.

WhatIf Manager diff

Audit Trail

In the Market Risk Application, there is no audit trail or persistence for the What-If simulations. Instead, the What-If branches are cleaned-up on a regular basis depending on your configuration.

Customizing the What-If configuration

The What-If framework has been designed to be adapted and configured based on your use cases.