System and method for aggregating values through risk dimension hierarchies in a multidimensional database environment
In accordance with an embodiment, described herein is a system and method for aggregating values through risk dimension hierarchies to create risk models in a multidimensional database. The system can include a cube that stores a plurality of standard risk measures organized into different risk dimension hierarchies, and a pluggable calculation engine executing a plurality of scripts to dynamically operate on any value in the cube. The system can aggregate values through the plurality of risk dimensional hierarchies, and either store an aggregated value against a dimension member, or dynamically calculate the aggregated value on demand. By aggregating values through the risk dimension hierarchies, a plurality of risk models can be built to measure a variety of risks.
1. A system for creating risk models by aggregating values through risk dimension hierarchies in a multidimensional database, comprising:
a computer that includes one or more microprocessors;
a multidimensional database server executing on the computer, wherein the multidimensional database server includes a cube storing plurality of risk measures organized into a plurality of risk dimension hierarchies;
a calculation engine integrated with the multidimensional database server, wherein the calculation engine includes a plurality of customized functions configured to:
aggregate values through the plurality of risk dimensional hierarchies,
create one or more risk models from the aggregated values, wherein, to create each risk model of the one or more risk models, the plurality of customized functions are further configured to:
build the risk model based on a selected forecasting algorithm and a first portion of the aggregated values;
validate the risk model based on a second portion of the aggregated values; and
save the risk model to a risk model catalog in the multidimensional database server;
suggest a particular risk model from the risk model catalog; and
generate, by the calculation engine, a forecast based on the particular risk model suggested and one or more data pivots in a set of historical data in the multidimensional database server.
2. The system of claim 1 , wherein the calculation engine is an R calculation engine, and wherein the plurality of customized functions are R functions.
3. The system of claim 1 , wherein the one or more risk models can include one or more of an operational risk model, a legal risk model, and a liquidity risk model.
4. The system of claim 1 , wherein the plurality of customized functions are configured to dynamically operate on any value in the plurality of risk dimension hierarchies.
5. The system of claim 1 , wherein one or more of the plurality of customized functions are triggered for use in preparing the one or more risk models and in using the one or more risk models for forecasting.
6. The system of claim 1 , wherein aggregated values received by the calculation engine from the multidimensional server are in a format of an R multidimensional data matrix.
7. A method for creating risk models by aggregating values through risk dimension hierarchies in a multidimensional database, comprising:
providing a multidimensional database server executing on one or more microprocessors, wherein the multidimensional database server includes a cube storing plurality of risk measures organized into a plurality of risk dimension hierarchies;
providing a calculation engine integrated with the multidimensional database server, wherein the calculation engine includes a plurality of customized functions;
aggregating values through the plurality of risk dimensional hierarchies by one or more of the plurality of customized functions;
creating one or more risk models from the aggregated values using one or more of the plurality of customized functions, wherein creating a risk model includes:
building the risk model based on a selected forecasting algorithm and a first portion of the aggregated values;
validating the risk model based on a second portion of the aggregated values; and
saving the risk model to a risk model catalog in the multidimensional database server;
suggesting a particular risk model from the risk model catalog; and
generating, by the calculation engine, a forecast using the particular risk model suggested and based on one or more data pivots in a set of historical data in the multidimensional database server.
8. The method of claim 7 , wherein the calculation engine is an R calculation engine, and wherein the plurality of customized functions are R functions.
9. The method of claim 7 , wherein the one or more risk models can include one or more of an operational risk model, a legal risk model, and a liquidity risk model.
10. The method of claim 7 , wherein the plurality of customized functions are configured to dynamically operate on any value in the plurality of risk dimension hierarchies.
11. The method of claim 7 , wherein one or more of the plurality of customized functions are triggered for use in preparing the one or more risk models and in using the one or more risk models for forecasting.
12. The method of claim 7 , wherein aggregated values received by the calculation engine from the multidimensional server are in a format of an R multidimensional data matrix.
13. A non-transitory computer readable storage medium, including instructions stored thereon which when read and executed by one or more computers cause the one or more computers to perform the steps comprising:
providing a multidimensional database server executing on one or more microprocessors, wherein the multidimensional database server includes a cube storing plurality of risk measures organized into a plurality of risk dimension hierarchies;
providing a calculation engine integrated with the multidimensional database server, wherein the calculation engine includes a plurality of customized functions;
aggregating values through the plurality of risk dimensional hierarchies by one or more of the plurality of customized functions;
creating one or more risk models from the aggregated values using one or more of the plurality of customized functions, wherein creating a risk model includes:
building the risk model based on a selected forecasting algorithm and a first portion of the aggregated values;
validating the risk model based on a second portion of the aggregated values; and
saving the risk model to a risk model catalog in the multidimensional database server;
suggesting a particular risk model from the risk model catalog; and
generating, by the calculation engine, a forecast with the particular risk model suggested and based on one or more data pivots in a set of historical data in the multidimensional database server.
14. The non-transitory computer readable storage medium of claim 13 , wherein the calculation engine is an R calculation engine, and wherein the plurality of customized functions are R functions.
15. The non-transitory computer readable storage medium of claim 13 , wherein the one or more risk models can include one or more of an operational risk model, a legal risk model, and a liquidity risk model.
16. The non-transitory computer readable storage medium of claim 13 , wherein the plurality of customized functions are configured to dynamically operate on any value in the plurality of risk dimension hierarchies.
17. The non-transitory computer readable storage medium of claim 13 , wherein one or more of the plurality of customized functions are triggered for use in preparing the one or more risk models and in using the one or more risk models for forecasting.