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Atoti FRTB uses native Atoti What-If capabilities to deliver powerful simulation tools in the following areas:
  • Desk reclassification (IMA/SA)
  • Trade scaling
  • Parameter set changes (including correlation and risk weight)
  • Datastore changes
What-If is applicable at any level in the hierarchy. The effect of the what-if simulation can be drilled down and propagated to the lower levels.

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Types of What-If analysis

Watch the video tutorial on Trade Scaling and Desk Reclassification:

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Branches

Each simulation you run creates a separate cloned branch of the master. However, as the What-If is purely for simulation purposes, these branches never impact the master branch.

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What-If Manager

To manage your branches and the simulations on them, use the What-If Manager. To open the What-If Manager:
  1. In the top left menu, click Insert > Widgets. This opens the list of available widgets.
  2. From the list, drag and drop the What-If Manager widget to your dashboard.
    Open What-If Manager
The widget displays a list of your branches:
What-If Manager screen
You can view the audit columns (Submission Name, Created by, Creation Date, Execution Date, Status, Branch Name, Operation), and remove a branch by clicking the Delete button. Clicking the + button in front of a row displays more details about your branch. Here you can also run a diff between the changes on your What-If branch and the master branch.
The diff is not available for What-Ifs created using the file upload widget.
What-If Manager diff

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Audit trail

In the reference implementation of Atoti FRTB, there is no audit trail or persistence for the What-If simulations. Instead, the What-If branches are cleaned up on a regular basis depending on your configuration.

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Customizing the What-If configuration

The What-If framework has been designed to be adapted and configured based on your use cases.