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What's New

This page provides a brief overview of the user-facing new features and improvements in the latest version of Atoti Market Risk.

info

For the list of issues covered in this release, see the Changelog.
For information on upgrading from previous versions, see the Atoti Market Risk Migration Notes.

6.0.6

Summary

New features

Improvements

New features

What-If upgrade

The Atoti What-If module has been upgraded to 4.1.6-AS6.1 delivering the following enhancements:

  • Parallel Submissions: Run multiple simulations simultaneously, reducing wait times and accelerating decision-making.
  • Simplified Workflows: Simulations that do not involve database changes are now easier to configure and execute, improving efficiency for common use cases.
  • Improved Permissions and Error Handling: Fixes to permission management and enhanced error handling ensure smoother operations and greater reliability.

Intermediate VaR Measure for FX Risk Transparency

A new intermediate measure, FxShiftVectorExpand, has been added to the VaR Cube to improve visibility into foreign exchange risk adjustments:

  • Enhanced Transparency: Displays the FX shift vector applied when converting to a base currency different from the sensitivity currency, giving clearer insight into currency conversion impacts on VaR calculations.
  • Better Risk Analysis: Helps risk teams validate and explain FX adjustments in VaR results, improving auditability and confidence in risk reporting.

DirectQuery Incremental Refresh Support

This release introduces support for incremental refresh operations for DirectQuery data sources, enabling faster and more efficient updates.

  • Improved Performance: Instead of refreshing entire datasets, only changed data is updated, reducing processing time and resource usage.
  • Flexible Configuration: Incremental refresh can be pre-configured using templates or customized directly by specifying table and field updates, giving teams full control over refresh strategies.

Improvements

Greater flexibility for Scenario Customization

This release introduces major enhancements to how scenarios are configured and managed, giving teams more control and agility:

  • Modular Scenario Joins: Joins are now modular, making it easier to customize how data is combined without disrupting existing metrics or logic.
  • Customizable Metrics and Hierarchies: Metrics and Copper hierarchies can be extended or overridden, allowing you to tailor calculations and structures to your business needs.
  • Robust Scenario Index Decoding: A new join-based approach replaces the old post-processor, making scenario index decoding more reliable and adaptable, while reducing maintenance effort and avoiding changes to metrics.

Atoti Server Upgrade

The Atoti Server has been upgraded to 6.1.15.

6.0.5

Summary

New features

Improvements

New features

FX base currency effect

This enhancement introduces the ability to analyse how the choice of base currency affects Taylor VaR results. While the core calculation remains unchanged, users can now explore FX risk more granularly through two new hierarchies added to the Currencies dimension:

Base Currency: Enables selection of the currency considered risky. Options include using the display currency, neutralising the FX effect, or selecting any available currency. FX Effect: Allows decomposition of VaR into components that isolate local risk from FX-driven effects.

This feature is not activated by default.

For further information, see the Base Currency and FX Effect pages.

Intermediate Taylor VaR measures

New measures are now available to provide deeper insights into Taylor VaR calculations by exposing key vectors:

  • FxShiftVectorExpandSensi: Displays the FX shift vector used when converting to a base currency different from the sensitivity currency in the Sensitivity Cube.
  • TaylorVectorExpand Native: Shows the PnL vector of Taylor VaR expressed in the sensitivity currency, prior to any currency conversion.

These measures enable more granular analysis of risk contributions and currency impacts within Taylor VaR.

Improvements

Upgrade to Atoti Server 6.1.13

This release includes an upgrade to Atoti Server 6.1.13.

New Sensitivity Type filtering capabilities

Users now have the option to simplify their dashboards by hiding Taylor sensitivity-specific measures. A new hierarchy called Sensitivity Type has been introduced, allowing users to filter Taylor VaR metrics by sensitivity type. This provides the same analytical results as the hidden measures, ensuring consistency across saved views and bookmarks. For example, filtering by “Delta” in the Sensitivity Type hierarchy will yield the same result as viewing the “Delta Taylor VaR” measure directly.

Enhancement of the FX Risk computation for Taylor VaR

FX risk handling has been refined to ensure accurate location shifts and better cube filtering:

When mr.fx.enable-fx-risk-location-shift=true (default setting), FX risk is moved to Delta/FX. This has been enhanced to apply location shifts across the following hierarchies in the Sensitivity Cube:

If mr.fx.enable-fx-risk-location-shift=false, no location shift occurs, and FX risk remains visible via the FX Effect hierarchy. For more information see the FX Effect page.

These improvements ensure FX risk is accurately represented in the Sensitivity Cube, reducing reporting discrepancies and improving risk transparency.

6.0.4

Summary

This release contains improvements and bug fixes.

Improvements

Improvements

Migrate to DirectQuery Local Cache

Atoti Market Risk 6.0.0 included the preview for a DirectQuery cache that balanced fast Get-By-Key query performance with controllable memory consumption. This cache was integrated into Atoti Server 6.1.9 as a robust, fully supported feature. In Atoti Market Risk the preview cache has been removed and replaced with the Atoti Server version.

This cache is still enabled by setting the property mr.enable.preview.directquery-cache=true. With this setting enabled, all market data stores (specifically CubeMarketData, CurveMarketData, FxRateMarketData, SpotMarketData, SurfaceMarketData, and MarketShifts) are now cached when using DirectQuery. In previous versions, the MarketShifts store was not cached.

Fixed cube level adjustment issues

Previously, cube level adjustments made to the Instrument Type level were visible in Atoti Sign-Off but weren’t correctly reflected in Atoti Market Risk. Now, the adjustments are accurately displayed in both places. Additionally, adjusted values were incorrectly associated with the default LIVE version instead of the correct OLD version. This has also been corrected.

Improved stability and performance of distributed what-if simulations

The what-if simulation process has been updated to be significantly faster and more stable. The system now uses a single-phase commit mechanism, replacing the previous multiphase commit process. This change simplifies the simulation operation, which results in notable improvements in performance and cluster stability at the expense of some consistency checks.

6.0.3

Summary

This release contains improvements and bug fixes.

6.0.2

Summary

This release contains improvements and bug fixes.

6.0.1

Summary

This release contains improvements and bug fixes.

6.0.0

Summary

New features

Market data set changes

This release introduces a game-changer for market data management. Now, every base store features MarketDataSet as a dedicated field, ensuring each fact is specifically associated to a set. This empowers you to send multiple market data sets for the same sensitivity, Pnl Data, and VaR input data.

Market data chain changes

The market data API is now an external dependency called Atoti Market Data. Atoti Market risk leverages this module to ensure easy customization of market data measures used for PnL Explain. See the Atoti Market Data documentation for more details.

Configurable parent-child depth

When working with parent-child hierarchies, you now have the flexibility to configure the parent-child depth, allowing you to choose the depth that suits your needs, freeing you from fixed constraints.

Atoti Server and JDK upgrade

Atoti Market Risk has been upgraded to the latest version of Atoti Server, 6.1.5, requiring Java 21. Atoti Market Risk has also been upgraded from JDK 17 to JDK 21 to make the most of the latest features.

Data Connectors upgrade

Atoti Market Risk has been upgraded to the latest version of Data Connectors. This version is completely redesigned, featuring simpler configuration, enhanced data load requests, and more. See the dedicated Data Connectors documentation for details.