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Download PDF version of this chapter: MR_Database_6.0.pdf This section provides the database definitions in the Atoti Market Risk. Here are a few points to note about the database descriptions:
  • The documentation mentions some constraints, for example NOT NULL and UNIQUE KEY. These constraints may not be enforced by all databases and may be difficult to enforce when using views. However, the Atoti Market Risk will assume that the data satisfies these constraints and may behave unpredictably if they are not satisfied.
  • The documentation includes the joins used between the tables/views. These are provided for informational purposes, though they may optionally be used to construct keys and indices to help maintain data integrity and improve performance.
Each cube in the Atoti Market Risk uses a star schema with many-to-one joins radiating out from a base table. The base tables are as follows:
CubeBase Table
PnL CubePNL
Sensitivities CubeTRADE_SENSITIVITIES
VaR-ES CubeTRADEPNLS
Additionally, there are “isolated” tables that are not part of the star schema but are still used in the Cubes.