Cinnamon Data Interface - Risk

Key Principles

Principle	Decision / Discussion

Principle	Decision / Discussion
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 the Portfolio Management System side while the reporting engine is flexible towards new models as well as the number of figures and their effects aggregation of figures and decomposition of figures with effects, see also Cinnamon Data Interface - Figures & Effects
Aggregation of instruments / segments	The reporting engine should be flexible to aggregate risk effects from instrument level to segment level

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.
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 `* 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`
Path	`/portfolio/riskexpost`
Parameters	`portfolioId`	string	The id of the portfolio (or consolidation) in the data source
Parameters	`reportingDate`	string (date)	The date, the reporing is produced for.
Example call	`/portfolio/riskexpost?portfolioId=E0002&reportingDate=2019-03-31`
Schema	on request
Example	on request

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
Reporting business logic	aggregation of figures / effects 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 * 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
Path	`/portfolio/riskexante`
Parameters	`portfolioId`	string	The id of the portfolio (or consolidation) in the data source
Parameters	`reportingDate`	string (date)	The date, the reporing is produced for.
Example call	`/portfolio/riskexante?portfolioId=E0002&reportingDate=2019-03-31`
Schema	on request
Example	on request

Usage & contents	used to produce risk status gauges on cover overviews
Reporting business logic	none
Consistency rules	Calculation date must not be newer than reporting date
Path	`/portfolio/riskstatus`
Example call	`/portfolio/riskstatus?portfolioId=E0002&reportingDate=2019-03-31`
Parameters	`portfolioId` `reportingDate`
Schema	on request
Example	on request