Content Comparison

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Key Principles

Interface "PortfolioRiskExPost"

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Status

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titleImplemented

Usage & contents	used to produce PO006, PO006C, CO001, RA001..RA003 Ex-post portfolio level risk figures for multiple periods. The risk figures will only be delivered on a monthly basis, so calls for a reportingDate within a month will typically deliver risk figures for periods ending at the ultimo of the previous month.

Path

/portfolio/riskexpost

Parameters

portfolioId

string

The id of the portfolio (or consolidation) in the data source

reportingDate

string (date)

The date, the reporing is produced for.

Example call

/portfolio/riskexpost?portfolioId=E0002&reportingDate=2019-03-31

Response structure

If the API can fulfill the request (response status code 200 = OK) the response must follow the below json-schema.

Note
The request part of the response has to match the path and parameters used in the API call/request The json schema currently excludes the schemas for dataVersioning (should be designed by CSAM) as well as segmentations (will be defined separately)

Schema

https://bitbucket.org/banknotes/ngr/src/df61b39d18a16581cd95aed9694991bbe39c5fb1/ngr-csamsolution/src/Model/schema/PortfolioRiskExPost.schema.json?at=release%2Fcurrent

Error handling

If the request can't be fulfilled an appropriate response status code (4xx or 5xx) must be used. Possible errors could be

• bad request structure → expected status = 400

• portfolioId not found or reportingDate in future → expected status = 404

• etc.

The body of the response should contain information about the reason of the error in plain text or as json object.

Reporting business logic

aggregation of figures / effects detection of available periods in result top n, filtering, sorting

Consistency rules

The following rules should be adhered to by any response and will eventually be checked when consuming a response: Consistency Rules Code Block language js * All figures used within a risk object should be defined in the figures declaration * All risk objects have to name a period that ends earlier than or at the reportingDate * All end dates of risk object periods have to be the same and have to be a month's ultimo date

Reporting business logic

• aggregation of figures / effects

• detection of available periods in result

• top n, filtering, sorting

Potential problems

• As the ex-post figures are calculated on Aladdin side, no arbitrary periods are possible

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Status

Status
colour Green title Implemented

Usage & contents

used to produce

• RA001, RA003

• RA006..RA008

• CO001 (some metrics)

Contents

• Ex-ante portfolio level risk figures for a given date and predefined time horizons

• This interface will include the previousely used interface PortfolioRiskDecompositions

Path	/portfolio/

riskexante

riskexpost
Parameters	portfolioId	string	The id of the portfolio (or consolidation) in the data source
	reportingDate	string (date)	The date, the reporing is produced for.
Example call	/portfolio/

riskexante

riskexpost?portfolioId=E0002&reportingDate=2019-03-31

Response structure

If the API can fulfill the request (response status code 200 = OK) the response must follow the below json-schema.

Note
The request part of the response has to match the path and parameters used in the API call/request The json schema currently excludes the schemas for dataVersioning (should be designed by CSAM) as well as segmentations (will be defined separately)

Schema

https://bitbucket.org/banknotes/ngr/src/df61b39d18a16581cd95aed9694991bbe39c5fb1/ngr-csamsolution/src/Model/schema/PortfolioRiskExAnte.schema.json?at=release%2Fcurrent

Error handling

If the request can't be fulfilled an appropriate response status code (4xx or 5xx) must be used. Possible errors could be

• bad request structure → expected status = 400

• portfolioId not found or reportingDate in future → expected status = 404

• etc.

The body of the response should contain information about the reason of the error in plain text or as json object.

Schema
Example

Interface "PortfolioRiskExAnte"

* All figures used within a risk object should be defined in the figures declaration
* All risk objects have the same referenceDate
* The referenceDate is not later than the reportingDate
* A model referenced in a risk object has to be declared under models
* Every effect used within a risk object has to be a declared effect of the referenced model
* Every effect declared within a model has to be also declared as figure
* All effects of a model having effectAggregation = sum should sum up to the value of the figure they explain

Interface "PortfolioRiskStatus"

"riskstatus": {
    "calcDate": "2019-03-31",
    "statusText": "moderate",
    "performanceHistoryMonths": 97,
    "SRRI": 3,
    "SRI": 2
}

Interface "PortfolioRiskStatus"