Difference between revisions of "Risk Data Aggregation"

From Open Risk Manual
 
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== Definition ==
 
== 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
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'''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<ref>BIS, Principles for effective risk data aggregation and risk reporting, 2013</ref>
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== Context ==
 
== Context ==
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* merging (e.g. summing up exposures to [[Related Counterparties]]
 
* merging (e.g. summing up exposures to [[Related Counterparties]]
 
* breaking down sets (e.g. to identify look-through exposures in sub-portfolios)
 
* breaking down sets (e.g. to identify look-through exposures in sub-portfolios)
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== References ==
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<references/>
  
 
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[[Category:Risk Data]]
 
[[Category:Risk Data]]

Latest revision as of 16:41, 12 August 2019

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)

References

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

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