Risk Data Aggregation

From Open Risk Manual

Definition

Risk Data Aggregation denotes defining, gathering and processing of Risk Data to form an integrated view of risk according to a firms Risk Reporting requirements[1]

Context

Risk data aggregation enables a firm to assess its risk profile and evaluate its performance against Risk Appetite. It presupposes that Risk Data Integration, that is available at the technical level

Examples

Risk data aggregation involves extraction and transformation of data sets

  • sorting (e.g. by a variety of attributes)
  • merging (e.g. summing up exposures to Related Counterparties
  • breaking down sets (e.g. to identify look-through exposures in sub-portfolios)

See Also

References

  1. BCBS 239, Principles for effective risk data aggregation and risk reporting, 2013

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