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Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

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What is Atoti Market Risk?

Atoti Market Risk is a solution for enterprise-wide market risk management. It is built on the Atoti Engine and supports risk calculation and analysis on large datasets across hundreds of dimensions. This page is intended for users familiar with market risk concepts and financial analytics. Atoti Market Risk supports financial institutions that need to consolidate risk data and maintain a real-time view of market risk exposure.

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Why use Atoti Market Risk?

Managing market risk across asset classes and business lines requires scalable calculation and interactive analysis. Batch processes and general-purpose BI tools cannot meet these requirements. These tools rely on pre-aggregated data and delayed reporting. They also require IT involvement for every change in analytical scope. Atoti Market Risk performs calculations directly on raw data. Users can explore results at any level of detail and investigate changes as they occur. Key capabilities include:
  • Calculate Compute VaR, SVaR, Component VaR, Incremental VaR, Expected Shortfall, and sensitivities across asset classes using an in-memory engine.
  • Explain Drill into P&L movements, trace risk changes to individual inputs, and identify metric drivers.
  • Simulate Run what-if scenarios and pre-trade analysis to assess portfolio and market event impacts.

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Who is Atoti Market Risk for?

Atoti Market Risk is used by teams responsible for measuring, monitoring, and explaining market risk. Typical users include:
  • Market risk managers and analysts.
  • Front office traders and desk heads.
  • Quantitative research and model validation teams.
  • Operations and product control teams.
Common use cases include:
  • Calculating VaR, SVaR, and Expected Shortfall across asset classes and legal entities.
  • Aggregating sensitivities such as Delta, Vega, Theta, Volga, Vanna, and Gamma.
  • Performing P&L Explain to attribute day-over-day changes to market data moves.
  • Investigating intraday risk movements using incremental data updates.
  • Running what-if scenarios for hypothetical positions or market events.
  • Monitoring risk against limits and investigating potential breaches.
  • Signing off end-of-day data using governed approval workflows.

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How does Atoti Market Risk work?

Atoti Market Risk is built on the Atoti Engine high-performance query layer. It performs on-the-fly aggregation of risk metrics across large datasets. Data includes P&L simulations and sensitivities from existing risk engines and market data systems. Source data is consolidated from booking systems, valuation engines, OMS and EMS platforms, and transaction processing systems. Data is loaded into the Atoti in-memory database with support for real-time incremental updates. Only metrics affected by a data change are recalculated. The solution includes a core implementation and a reference implementation. The core provides standard risk calculations, a defined ETL format, predefined measures, and configurable dashboards. The reference implementation can be customized to match client data models, workflows, and organizational structures. Results are available through Atoti UI as predefined but configurable dashboards. Reports can be generated and distributed automatically on a schedule. The solution integrates with Atoti Limits and Atoti Sign-Off to support end-to-end market risk workflows. Atoti Market Risk supports on-premise deployment, cloud deployment, and managed service models.

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What is the relationship to other Atoti products?

Atoti Market Risk is part of the Atoti portfolio for risk management and regulatory capital. It is commonly used with:
  • Atoti FRTB for Standardized Approach and Internal Models Approach capital calculations.
  • Atoti for xVA for CVA, DVA, FVA, and valuation adjustment analysis.
  • Atoti Limits for intraday limit monitoring and breach investigation.
  • Atoti Sign-Off for end-of-day data validation and approval.
  • Atoti Scenario Analysis for hypothetical and stress testing.