System and method for multi-layer risk analysis

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.

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, 
 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, and 
 wherein the aggregation operation is performed 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. 
   
     
     
         2 . A method according to  claim 1 , wherein each cell of the inner cube includes a sub-inner cube that is a multi-dimensional cube that includes cells and dimensions. 
     
     
         3 . A method according to  claim 1 , wherein the dimensions of the inner cube is different from the dimensions of the outer cube. 
     
     
         4 . A method according to claim I, wherein each position in the portfolio of financial positions is an object that includes a set of coordinates S and a measures object M. 
     
     
         5 . A method according to  claim 5 , wherein M includes a set of desired measures and defines the aggregation operation. 
     
     
         6 . A programmable computer for use in performing a risk analysis on a portfolio of financial positions, comprising:
 at least one memory including at least one region for storing computer executable program code; and   a processor for executing the program code stored in the at least one memory, wherein the program code includes:   code for constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; and   code for 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, and 
 wherein the aggregation operation is performed 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. 
   
     
     
         7 . A computer-readable storage medium storing a computer program for executing a method of representing a portfolio of financial positions on which a risk analysis is to be performed, wherein the computer program comprises:
 code for constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; and   code for 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, and 
 wherein the aggregation operation is performed 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. 
   
     
     
         8 . 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, and 
 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; 
   performing 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.   
     
     
         9 . A method according to  claim 8 , wherein each cell of the inner cube includes a sub-inner cube that is a multi-dimensional cube that includes cells and dimensions. 
     
     
         10 . A method according to  claim 8 , wherein the dimensions of the inner cube is different from the dimensions of the outer cube. 
     
     
         11 . A method according to  claim 8 , wherein each position in the portfolio of financial positions is an object that includes a set of coordinates S and a measures object M. 
     
     
         12 . A method according to  claim 11 , wherein M includes a set of desired measures and defines the aggregation operation. 
     
     
         13 . A programmable computer for use in performing a risk analysis on a portfolio of financial positions, comprising:
 at least one memory including at least one region for storing computer executable program code; and   a processor for executing the program code stored in the at least one memory, wherein the program code includes:
 code for constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions; 
 code for 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 each cell of the inner cube includes a set of measures, which includes at least one scalar measure and at least one vector measure; 
 
 code for performing 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. 
   
     
     
         14 . A computer-readable storage medium storing a computer program for executing a method of performing risking analysis on a portfolio of financial positions, wherein the computer program comprises:
 code for constructing an outer cube representing the portfolio of financial positions as a multi-layered multi-dimensional cube that includes cells and dimensions;   code for 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 each cell of the inner cube includes a set of measures, which includes at least one scalar measure and at least one vector measure; 
   code for performing 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.