Credit Tags
Risksvr filters, accumulates and displays results according to:
-
Dimension(s).
-
The Tag hierarchy (Hierarchy of Tags in the Tag Sequence).
-
The Tag.
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The Filters.
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The Formulas (Beta).
A Credit
Tag is a powerful mechanism to slice and dice credit results .
Credit Tags tie together results at three different levels of the engine:
Account.
Counterparty
Trade
A Tag is either generated by the engine or
it defined by the user.
Setting up your Credit Tags
First you need to know what you want to slice.
Do you want to slice Atomic Values, Trade Fair Values, Credit-Exposure
and everything else that derives from it (Default, Sovereign Risk, etc) ?
Once you have answered this question, you can proceed to the next step!
A.
If you want to slice Credit-Exposures (Defaults), you should use Credit Tags in the
Account definition.
B.
If you want to slice Trades. Define your Tags in the Position Screen.
Choose how to Slice and Dice Results. (i.e. your Risk
Dimensions);
- Credit Risk: Tags are attached to Trades or Party
Accounts.
Credit Tags are attached to the Trade or the Party Account by
creating a CREDITTAG token that is associated to
a Dimension and a string or
sequence of strings.
If no Dimension is defined, the Dimension is assumed to be the
Default dimension. Hence if you will be using one dimension,
no specific dimension name or identifier is required.
- Yield Curve Buckets are used to aggregate results according to
User Defined Time-Buckets.
Time Buckets are defined in the Analysis section.
Note: When you choose a Credit dimension (on the
right hand side of Exposure Type in the Analysis
module, the engine creates tags for you.
For example, if you request a Counterparties Dimension, the
engine will go through every Account and create a tag with the "Party"
name.
Why are tags so Important
Tags are used to slice and dice risk according to your views of the world.
Each time you associate a Tag to an account or position you create a " Risk Accumulator".