Market Risk Data Model

Atoti Market Risk 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.

Atoti Market Risk components

Atoti Market Risk 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	MR 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 MR 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 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.