All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Risk engine, risk data aggregation?

Also known as: risk engine · risk data aggregation

Definition 29.1 Rates, Credit, XVA and Risk · Chapter 29 — Build: A Risk Engine

A risk engine is the system that turns the firm’s positions and market data into its risk measures: it builds scenarios, revalues the positions under them, aggregates the results along the firm’s structure, and reports them against limits. Risk data aggregation is, in the Basel Committee’s words, defining, gathering and processing risk data according to the bank’s risk reporting requirements to enable it to measure its performance against its risk tolerance or appetite.

The risk engine’s stages. Revaluation calls the pricing library through its fixed interface; everything downstream works on the array of P&L by scenario and trade. Schematic.
Figure 29.1. The risk engine’s stages. Revaluation calls the pricing library through its fixed interface; everything downstream works on the array of P&L by scenario and trade. Schematic.
Read in context →