A data model is provided to support the SA and IMA approaches. This is the default data model for all data required, and incorporates the following features:Documentation Index
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- Trades with economic and organisational attributes
- Trades, Positions and Sensitivities per Risk Factor and other granular data for SA
- Trade Historical P&Ls, Historical Simulations and other granular data for IMA
- Classifications, Books, Desks, Risk Categories, etc.
- Correlations and other constants imposed by regulators
Components
comprises six components, each with its own cube. Each component is also associated with one or more Input File Formats and Datastore Definitions. The following table lists these cubes, and provides links to their associated schemas, datastore definitions and input file formats.| Cube | Cube schema | Datastore definition | Input file formats |
|---|---|---|---|
| SA Cube | Standardised Approach Cube Schema | SA Datastore Definition Global Datastore Definition | SA Input Files |
| IMA Cube | Internal Models Approach Cube Schema | IMA Datastore Definition Global Datastore Definition | IMA and IMA Summary Input Files |
| IMA DRC Cube | Internal Models Approach DRC Cube Schema | IMA Datastore Definition | DRC Files |
| P&L Cube | Profit & Loss Cube Schema | IMA Datastore Definition | P&L Attribution Tests and Backtesting File Formats |
| P&L Summary Cube | Profit & Loss Summary Cube Schema | IMA Datastore Definition | PL Summary |
| FRTB Combined Cube | FRTB Combined Cube Schema | Not backed by any datastore.See note below | Input file formats the same as for all the other cubes put together |
The FRTB Combined Cube is a query node that is built from the other
cubes. As such, it contains the union of all the hierarchies and
measures from the other cubes.
Input Data File Formats
Input data file formats using a CSV style are provided.Customer Override for the Data ModelPre-defined data model is available, but it is possible to easily adapt
this to the bank’s own source formats. Each bank will then own their own
data model and be able to change classifications etc. that are not fully
defined by the regulators. This means a customer implementation can
override the ‘out of the box’ functionality so that input data can be
sourced from other systems and database technologies.