The Measures section lists measures cube by cube, describing each measure’s calculation method, available variations, required hierarchies, and Basel Framework reference. Measures can also be searched and displayed directly in the “Data Explorer” and “Pivot Table” widgets, described in the Atoti UI User Guide.
The Context values section documents parameters that can be set to provide additional context for a query, in order to obtain more meaningful results. Their default values can be overridden using the “Context Values” drawer in Atoti UI.
Atoti FRTB exposes the following cubes for querying:
StandardisedApproachCube - transaction-level risk data for computing SBM and DRC SA
InternalModelApproachCube - transaction-level risk data for computing IM (non-DRC) measures
StressCalibrationCube - transaction-level risk data for calibrating IMA Cube
IMADRCCube - transaction-level risk data for computing DRC IM metrics
IMASummaryCube - pre-aggregated time-series of data for computing historical IM (non-DRC) measures
PLCube - transaction-level risk data for computing Value-at-Risk
PLSummaryCube - pre-aggregated time-series of PL and Value-at-Risk for model eligibility testing metrics
FRTBCombinedCube - combined query cube
Querying the combined FRTBCombinedCube is recommended, since it consolidates all the implemented results. The measures section provides the comprehensive documentation of measures, all of which are available in the “FRTBCombinedCube”.
The FRTBCombinedCube will display the measures from the original cubes “as is” in most cases. However, when the same measure is available from two cubes (for instance, IMCC in the IMASummaryCube and in the InternalModelApproachCube), the combined result (IMCC) will show the most granular source by default (in this case, the InternalModelApproach cube). The version of the measure can be selected explicitly by choosing the IMCC.IMASummaryMeasures or IMCC.IMAMeasures measure.
