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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.

For bug fixes and developer-facing changes, see our Changelog.

6.0.0-M1

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

5.4.2

Summary

Bug fixes and improvements.

5.4.1

Summary

Improvements

Configurable parent child depth

You can now configure the maximum depth of the parent-child hierarchies (books, legal entities, counterparties).

For details, see the Migration notes.

Market data measures

As a result of improvements to the market data chain, the Sensitivity Name and Risk Class levels now need to be added to the views to display Market Data measures.

For details, see the Migration notes.

Updated dashboards

A number of dashboards have been updated due to market data measure and context value changes.

For details, see the Migration notes.

5.4.0

Summary

New features

Market Data API redesign

This release introduces a refined Market Data API, featuring enhancements that streamline the underlying data model for improved customization efficiency. This update significantly reduces the code needed to handle market data, improving overall development efficiency and implementation ease.

For details, see Market Data API.

Databricks

DirectQuery support for connecting to a Databricks database has been added. Read more about DirectQuery and how to connect to a Databricks Database.

New engine

Atoti Market Risk 5.4.0 is powered by the latest version of Atoti Server and Spring. The result is a faster, safer application, which you can customize using the most modern stack available.

New adjustments in the VaR cube

You can now apply PnL vector adjustments for individual scenarios in the VaR cube. To request an adjustment, follow the usual sign-off process on the VaR cube and build a pivot table to display the PnL vector expanded by Scenario.

5.3.0

Summary

New features

MS SQL Server support for DirectQuery

We are excited to announce expanded support for data sources by now including MS SQL Server as a DirectQuery option. This enhancement empowers you to seamlessly tap into data stored within this widely used warehouse technology, enabling trend and historical analysis directly from Atoti Market Risk, bypassing the in-memory loading step. Read more about DirectQuery and how to connect to an MS SQL Server Database.

Simplified API and configuration

We continue working on improving the data model and customization options in Atoti Market Risk and in this release we are delivering a simplified data model for market data retrieval, as well as market data interpolation service. For details, see Market Data APIs.

Virtual hierarchies

You can now use the virtual hierarchy feature on Atoti Market Risk directly from the configuration.

Here’s how to define virtual hierarchies in the application.yaml file:

mr:
    configuration:
        virtual-hierarchies:
            - Trades@Booking

note

Analysis hierarchies can’t be virtual.

5.2.3

Summary

  • Upgraded to Atoti Server 6.0.9.

5.2.2

Summary

  • Fixed ladder computation: The ladder formula has been fixed. This changes the result of PnL and VaR computation that uses a sensitivity based on Ladders.
  • Added Volga Taylor VaR measures: Volga Taylor VaR measures have been added to the Solution.
  • Added statistical measures for interpolated market shift measures: The minimum, maximum, average, and percentile measures have been added for interpolated market shift measures.
  • Made ladder-based sensitivity measures optional: Ladder-based sensitivity measures can now be excluded from the configuration. If the configuration classes are excluded, no visible measures will be present in the cube. If the Solution is configured to use ladders as an input to PnL Explain and Taylor VaR calculations, the result will be NaN.
  • DirectQuery cube refresh is now available by REST service: It can be done with a post at the URL ‘http://localhost:10010/mr-application/directquery/refresh’.

5.2.1

Summary

  • Upgraded to Atoti Server 6.0.7.
  • Bug fixes and improvements.

5.2.0

Summary

Improved Sensitivity Cube configuration for testing: store, dimension, and measure configuration classes have been split to allow targeted testing of measure chains.

5.1.0

Summary

New features

DirectQuery support for Atoti Market Risk

DirectQuery support has been introduced for the VaR/ES, Sensitivity, and PnL Cubes. This feature empowers you to effortlessly access historical data stored in your warehouse directly from Atoti Market Risk.

The technology allows you to delve into the depths of your data and analyze trends, bypassing the in-memory loading step. This way, DirectQuery not only enables historical analysis but also optimizes system resources.

For more information, see DirectQuery.

Limitations:
  • Currently, DirectQuery does not support What-Ifs, Sign-Off, or data updates. These features are only available for the in-memory Cubes.
  • Today, we support integration with Snowflake. Stay tuned as we expand our compatibility with other warehouse technologies.

Improvements

Atoti UI update

Atoti UI has been updated to 5.1. For more details on this version, see the Atoti UI documentation.

Sensitivity input file formats update

The SecondOrderLadder field has been removed from the Sensitivities files to simplify their structure:

5.0.0

Summary

  • Upgraded to Atoti Server 6.0.3.
  • Change to the way FX conversion is computed for PnL values in the VaR-ES cube.
  • Taylor VaR enhancements
  • Updated datasets
  • New bookmarks
  • TradeKey field has been introduced for Summary data.
  • Terminology change in documentation

New features

Taylor VaR enhancements

You can now use market shift data from a different date to the asOfDate for the calculation of Taylor measures. New measures display minimum, maximum, and average values of market shift vectors, and the value at a user-specified percentile of the vector.

VaR FX Conversion

This version changes the method by which PnL vectors are converted to a different currency within the VaR-ES cube. The mark-to-market (MTM) value of the trade is now included in the calculation to ensure the FX risk associated with the trade is taken into account. Details of the calculation can be seen here. This change impacts all measures that are based on the PnL vectors, including VaR, VaE, Expected Shortfall, and so on.

Bookmarks

New sets of bookmarks have been added:

  • How It Works bookmarks show interim steps to help you understand calculations and input data, and find useful measures.
  • Daily Jobs bookmarks illustrate demo stories.
  • Additional Story-Telling Target Views bookmarks to compliment the other two sets.

Datasets

The dataset has been updated:

  • Dataset moved 5 years forward (from 2018 to 2023) for AsOfDate, maturities, trade dates, any dates.
  • Full revaluation VaR is aligned with Taylor VaR.
  • Full revaluation PnL is close to PnL Explain.
  • Market data shifts are regenerated so that T-1 vector and T1 vector contain the same values except 1 value
  • Risk factors are consistent between Taylor VaR and Full revaluation VaR.
  • Taylor VaR market data adjusted.
  • Market data anomaly to support backtesting exception story.
  • Commodity risk factor shocks.

Terminology change

Product names have been updated across the documentation.

Why are we introducing these changes:

  • To make our product offering more readable.
  • To bring naming consistency to the software platform as a whole.
  • To pave the way for future products and features.

note

The changes in names do not have any impact on the content or the substance of the product. Only the designation changes.

4.1.0

Summary

  • Implementation of additional Taylor measures : Many of the VaR and similar measures that are available in the VaR-ES cube are now available in the Sensitivities Cube. These measures are derived from PnL vectors created with a Taylor expansion of sensitivities and market data.
    • For each combination of sensitivity - Cash, Correlation, CrossGamma, Delta, Gamma, Vanna, Vega, and Aggregate - and measure type - Expected Shortfall (ES), Expected Tail Gain (ETG), Value at Earnings (VaE), Value at Risk (VaR), Weighted Value at Earnings (WVaE), Weighted Value at Risk (WVaR) - the following measures are available:
      • Basic measure
      • Measure from the previous day
      • Day-to-day difference of the measure
      • Day-to-day difference of the measure expressed as a percentage
      • LEstimated version of the measure
    • For each of these measures, there is a version for which the confidence is controlled with a context value. There are also versions that use a fixed confidence. These fixed confidences are set by the confidence.levels application property.
    • The Sensitivies Cube now also has a Tail VaR measure (VaR with 100% confidence) and a Tail VaE measure (VaE with 100% confidence).
  • Removal of IGreekDescription interface : Removed IGreekDescription interface and replaced it with source- and hierarchy-specific configuration.

Known issues

PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock.