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The VaR cube of Market Risk (Enterprise Risk) provides Value-at-Risk (VaR) and Expected Shortfall (ES) analytics using a historical simulation approach based on pre-computed scenario P&L vectors. It ships as a Spring Boot library that integrates into any Atoti application, providing a production-ready VaR cube with predefined dimensions, hierarchies, and measures ready for P&L vector ingestion. This page is intended for risk managers, quantitative analysts, and developers evaluating or implementing Market Risk (Enterprise Risk). See the Atoti Enterprise Risk Suite overview for where the VaR cube sits in the suite.

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Why use Market Risk (Enterprise Risk)?

  • Ready-to-use VaR and ES calculations. Historical simulation VaR and Expected Shortfall are available at any configurable confidence level, with no additional implementation required.
  • Consolidated cross-asset risk. Positions and P&L data from multiple booking systems and asset classes are unified within a single VaR cube.
  • Trade-level contribution analysis. Incremental VaR Contribution and Incremental ES Contribution decompose portfolio-level risk into individual trade contributions for detailed attribution.
  • Day-to-day risk tracking. Previous-day values and absolute and percentage changes are computed automatically, enabling daily comparison of risk evolution.
  • Scenario analysis. The specific P&L scenarios that drive VaR and ES are exposed, allowing analysts to understand and explain risk figures at the scenario level.
  • Multi-currency support. An optional FX conversion feature converts P&L values into a chosen display currency, with inverse rate and triangulation fallback when direct rates are unavailable.

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Who is Market Risk (Enterprise Risk) for?

Market Risk (Enterprise Risk) is for institutions that compute P&L scenarios upstream and require a scalable, extensible framework for downstream VaR and ES analytics. Typical users include:
  • Market risk managers overseeing daily VaR reporting
  • Quantitative analysts performing scenario and contribution analysis
  • Risk technology teams integrating VaR analytics into Atoti applications
  • Regulatory reporting teams producing internal and regulatory risk reports
Common use cases include:
  • Daily regulatory and internal VaR reporting
  • Desk and portfolio risk analysis
  • Scenario analysis and P&L contribution attribution
  • Day-to-day monitoring of VaR and ES movements

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How does Market Risk (Enterprise Risk) work?

Market Risk (Enterprise Risk) is built around a VaR cube that aggregates pre-computed P&L scenario vectors and derives VaR and ES at query time. Data ingestion. P&L scenarios are computed upstream by a risk engine and loaded into the solution as CSV files. Each row in the TradePnL table stores a trade identifier, an as-of date, a native currency, and a vector of scenario P&L values. Supplementary data (trade attributes, counterparty details, organizational hierarchy, and FX rates) is loaded from additional CSV files and joined at query time. Calculations. When a user queries the VaR cube, P&L vectors are aggregated element-wise across all trades in scope, producing a portfolio-level P&L vector. VaR is computed by sorting this vector and reading the value at the configured quantile position. ES is computed by averaging the losses in the tail beyond the VaR threshold. Incremental VaR Contribution and Incremental ES Contribution are each derived by recomputing the parent portfolio metric with the trade excluded and subtracting the result from the total parent metric. For full details, see How are VaR and ES calculated?. Results access. Outputs are exposed through the VaR cube and explored interactively in Atoti UI, where users build pivot tables, apply filters, drill down into scenarios, and switch display currencies and confidence levels dynamically.

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What is the relationship to other Atoti products?

Market Risk (Enterprise Risk) is one of the domain-specific solutions in the Atoti Enterprise Risk Suite. It is built on the Atoti Engine and packaged as a Spring Boot auto-configuration library, so it activates the VaR cube automatically when added as a dependency. No direct SDK usage is required from end users.
  • Atoti Engine. Market Risk (Enterprise Risk) runs on the Atoti Engine, which provides the multidimensional aggregation and real-time computation capabilities that underpin all VaR and ES calculations.
  • Atoti Configuration API. The solution is built and can be extended using the Atoti Configuration API. Developers add fields, dimensions, hierarchies, or measures by implementing the IModelConfigurer interface.
  • Atoti UI. Results from the VaR cube are explored and visualized through Atoti UI, ActiveViam’s web-based analytics interface. Atoti UI provides pivot tables, charts, dashboards, and simulation dimensions including Display Currency and Confidence Levels.