System and method for multi-dimensional risk analysis
First Claim
1. A method of representing a portfolio of financial positions on which a risk analysis is to be performed, comprising the steps of:
- constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; and
constructing each cell of the plurality of cells to include a set of coordinates and an inner cube, wherein the inner cube is a multi-dimensional cube that includes cells and dimensions,wherein the dimensions of the outer cube include information relating to a context of the risk analysis,wherein the dimensions of the inner cube include all dimensions required to perform an aggregation operation on the portfolio of financial positions, and wherein, for each position P to be added to an inner-cube cell C,P includes a measures object MP and a set of coordinates SP,C includes a measures object MC and a set of coordinates SC,for all k where k is an element of a set that includes 1 through n, and vk is a value from a data hierarchy for the kth dimension, a mapping operation for mapping coordinates and measures of P to C is given by;
C→
SC→
vk={P→
SP→
vk|“
−
”
}, set C→
MC+=P→
MP.
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Abstract
A risk analysis method uses a multi-dimensional risk representation that allows a standard OLAP engine to perform analysis on multi-dimensional data corresponding to a portfolio of financial positions. The analysis includes context-dependent, heterogeneous aggregation functions. The multi-dimensional data is represented as a multi-layered multi-dimensional cube (“outer” cube), which consists of dimensions and cells. Each cell includes a set of coordinates and an inner multi-dimensional cube (“inner” cube). Dimensions of the inner cube include all dimensions required for aggregations. Dimensions of the outer cube include only dimensions needed for context (or reporting). An aggregation is performed on the set of measures of the inner cube based on a context for the aggregation provided by the outer cube.
882 Citations
8 Claims
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1. A method of representing a portfolio of financial positions on which a risk analysis is to be performed, comprising the steps of:
-
constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; and constructing each cell of the plurality of cells to include a set of coordinates and an inner cube, wherein the inner cube is a multi-dimensional cube that includes cells and dimensions, wherein the dimensions of the outer cube include information relating to a context of the risk analysis, wherein the dimensions of the inner cube include all dimensions required to perform an aggregation operation on the portfolio of financial positions, and wherein, for each position P to be added to an inner-cube cell C, P includes a measures object MP and a set of coordinates SP, C includes a measures object MC and a set of coordinates SC, for all k where k is an element of a set that includes 1 through n, and vk is a value from a data hierarchy for the kth dimension, a mapping operation for mapping coordinates and measures of P to C is given by;
C→
SC→
vk={P→
SP→
vk|“
−
”
}, set C→
MC+=P→
MP. - View Dependent Claims (2, 3, 4)
-
-
5. A method of performing risk analysis on a portfolio of financial positions, comprising the steps of:
-
constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; constructing each cell of the plurality of cells to include a set of coordinates and an inner cube, wherein the inner cube is a multi-dimensional cube that includes cells and dimensions, wherein the dimensions of the outer cube include information relating to a context of the risk analysis, wherein the dimensions of the inner cube include all dimensions required to perform an aggregation operation on the portfolio of financial positions, wherein each cell of the inner cube includes a set of measures, which includes at least one scalar measure and at least one vector measure, wherein, for each position P to be added to an inner-cube cell C,P includes a measures object MP and a set of coordinates SP, C includes a measures object MC and a set of coordinates SC, for all k where k is an element of a set that includes 1 through n, and vk is a value from a data hierarchy for the kth dimension, a mapping operation for mapping coordinates and measures of P to C is given by;
C→
SC→
vk={P→
SP→
vk|“
−
”
}, set C→
MC+=P→
MP; andperforming an aggregation operation on the set of measures according to the dimensions of the inner cube and according to the context of the risk analysis included in the dimensions of the outer cube. - View Dependent Claims (6, 7, 8)
-
Specification