Choosing your Risk Dimension(s)

Related Topics

A Risk Dimension accumulates results according to:

one or multiple tag hierarchies
risk factor accumulators
yield curve bucket accumulator.

A Risk Dimension groups Tag hierarchies together according to a criteria or Tag group Name.
The criteria or Group Name for a given Dimension is either defined by the engine or by the user.

When handled by the engine, a dimension is called Reserved as opposed to User Defined.

The group name or criteria of a User Defined Dimension can be defined as a free format string or identifier.

If one single dimension is used in the Analysis , you do not need to assign a Dimension name. The setup is completely transparent as the engine will associate tags to the default group.

If you use more than one dimension, you must provide a group name to each dimension. If you do not provide a group name , the engine will generate automatically a numeric identifier.

How do you create Dimensions?

A dimension is always associated to a Tag.

You create the dimension when you create a Tag.

Example:

We want to create a PORTFOLIO dimension. We want a Tag hierarchy that captures Customer Portfolios: The tag is associated to the Trade.

TAG PORTFOLIO "Company xyz/USD/folio 123"

We want to slice and dice results according to portfolio, traders, accounts and parties.

We first create a dimension named "Cpty's & Accounts" with the Credit Tag. This credit tag is associated to the account definition. This tag is defined in the Account screen ( see Credit setup). This data can also be defined manually by editing the Account DataSource ( ee DataSources and Realms) via an interface our with an Editor or through the (Account DataSource(
Assume the Counterparty is named xYZ -AAA-Senior. The account number is 100123.

CREDITTAG "Cptys & Accounts" "XYZ-AAA-Senior/USD/100123

Important

If you do not define specifically a dimension name, the engine will assume you are referring to the default dimension.