Documentation Index
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The PnL Component of Atoti Market Risk aims to facilitate P&L analysis next to
sensitivities and VaR, as well as comparison between types and P&L time
series.
Methodology
P&L data that feed the PnL cube are delivered at trade and risk factor
level.
The input data fields contain, among other attributes, the following
ones specific to the PnL cube:
- P&L type (e.g. Flash, Actual,
Risk-Theoretical): can take any value present in the input data. You
can use any custom value that is needed here.
- P&L Driver (e.g. Market Moves, New
Trades): populated by upstream P&L systems and indicates why the
P&L values changed. This field can also take any custom value
provided in the input data.
Optionally, cumulated Monthly, Yearly, and Lifetime P&L values can be
delivered MtD by upstream P&L systems.
You can build views from the PnL cube to make side-by-side comparisons
between different P&L types (for instance to compare Flash P&L to
Actual P&L). Additionally, views from the MRA Combined Cube can be
built to display in a single view P&L measures defined in the PnL cube
together with VaR measures defined in the VaR-ES Cube.
Default data model
Out of the box, Atoti Market Risk works with a predefined file format, CSV. If you produce your data in this format, you can load and use Atoti Market Risk with no customizations needed. However, you can edit and configure Atoti Market Risk to work with any format or
file, database, source, and so on, that Atoti is compatible with.
Sample CSV input files are included in the source distribution. These
files are loaded when testing the MR application and
provide examples of each of the file types.
For full details of the input files, see Input file formats
in the Cube Reference Guide.
In addition to loading data from a local CSV file, Atoti Market Risk supports loading CSV-formatted data from Azure, given the correct information and credentials are provided.
Datastore definition
Datastore tables
For a full description of the fields in each store and how they map to
the cube fields, see PnL datastore definitions
in the Cube Reference Guide.
Cube dimensions and measures
For a full description of the dimensions and measures provided in Atoti Market Risk of the PnL cube, see the Cube Reference Guide.
