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Short text

New Features in the Risk Hierarchy for 4.61

Scope of Functions

Collapsable Risk Hierarchy

For Value at Risk, you can now mark nodes in the risk hierarchy with the property "no Value at Risk beneath this node". The effect of this indicator is that when a VaR evaluation is run, no value at risk is displayed below the marked node in the VaR report (provided "Consolidated VaR" is selected in the VaR type). This property of a risk hierarchy node is always effective at the top-most marked node.

History Administration in Risk Hierarchy

Risk hierarchies for saved report data (also see Report Data Memory) are protected against changes. If you do change such a risk hierarchy, you have to choose a new version and can also specify a new 'valid from' date. You can not create historical versions independent of this protection mechanism for saved report data.

You can display the historical versions for a risk hierarchy via the menu option "Display historical version". You are asked to specify a validity date. If you do not enter a date, the system automatically displays the current version. You are not allowed to change historical versions.

Before risk hierarchies are saved, they are always checked for consistency: you can not save an inconsistent risk hierarchy in an historical version.

Protected risk hierarchies and risk hierarchies with historical versions can not be deleted. When a risk hierarchy is copied, only the current version is used.

If a risk hierarchy is transported to a receiving system, it is only the current version that is transported. When the data is imported to the target sytem, a check is run to see whether the risk hierarchy that exists there is already protected on account of saved report data. If this is the case, the existing version is copied to the historical table rather than being overwritten. The 'valid from' date of this risk hierarchy is set to the most recent date from the saved report data and the imported risk hierarchy then becomes valid on the next day.

Improvements to Detail

You can no longer insert further nodes beneath existing risk factors. New risk factors can now only be inserted beneath the root node or another node. You are also no longer allowed to insert further risk factors in a yield curve or insert two yield curves beneath one node.

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