Cinnamon Data Interface - Risk

Scope is Portfolio

• the interface should always deliver data on the scope of a single portfolio

• the interface delivers key figures also on portfolio level (no aggregation needed)

Benchmark Data

• benchmark data is inherently delivered as part of the analysis (see figures)

Models & Figures

• the risk model can be chosen / setup on Aladdin side while the reporting engine is flexible towards new models as well as the number of figures and their effects

• aggregation of figures as with Valuation

• decomposition of figures with effects → see CSAM Data Hub - Figures

Aggregation of instruments / segments

• The reporting engine should be flexible to aggregate risk effects from instrument level to segment level

• 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.

• aggregation of figures / effects

• detection of available periods in result

• top n, filtering, sorting

The following rules should be adhered to by any response and will eventually be checked when consuming a response:

Consistency Rules

* 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

/portfolio/riskexpost

portfolioId

string

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

string (date)

The date, the reporing is produced for.

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

ON REQUEST

ON REQUEST

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

• aggregation of figures / effects

• filtering, sorting

The following rules should be adhered to by any response and will eventually be checked when consuming a response:

Consistency Rules

* 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

/portfolio/riskexante

portfolioId

string

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

string (date)

The date, the reporing is produced for.

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

ON REQUEST

ON REQUEST

used to produce risk status gauges on cover overviews

none

• Calculation date must not be newer than reporting date

/portfolio/riskstatus

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

• portfolioId

• reportingDate

ON REQUEST

ON REQUEST