21   Dashboard - Model Validation Summary

The following table displays the page level filters which are applicable to all the reports in this dashboard.

Table 75: Parameters in the Dashboard - Model Validation Summary

Dashboard Name

Model Validation Summary

Subject Area

MR Model Validation

Page-Level Filters

As of Date

Page-Level Display Parameters

Not applicable

 

The following reports are displayed as part of the Model Validation Summary dashboard:

·        Backtesting Model Validation Summary

·        Profit and Loss Attribution Test Summary

Backtesting Model Validation Summary

This section describes the parameters of the Model Validation Summary report.

Note: The application considers the latest execution ID for Portfolio and Confidence Interval %.

Table 76: Backtesting Model Validation Summary Report Parameters

Report Name

Backtesting Model Validation Summary

Report Level Filters

Not applicable

Report Description

This report provides a consolidated view of the backtesting in a single screen for different portfolios that were executed as part of the Profit and Loss attribution test.

Report Type

Tabular Report:

·        The report includes three sub-reports:

·        VaR at 97.5% confidence

It has the following columns:

§       Portfolio

§       Zone

§       Range

§       Number of Exceptions

·        VaR at 99 % confidence

It has the following columns:

§       Portfolio

§       Zone

§       Range

§       Number of Exceptions

·        Backtesting Combined Result (97.5 % and 99 % confidence)

It has the following columns:

§       Portfolio

§       Zone

Dimensions

·        Dim MR MDLVAL Business Definition

·        Dim MR Portfolio

·        Dim Date

·        Dim MR Backtesting Zones

Base Measures

No. of Exceptions

Computed Measures

Not applicable

Profit and Loss Attribution Test Summary

This section describes the parameters of the Profit and Loss Attribution Test Summary report.

Note: The application considers the latest execution ID for Portfolio.

Table 77: Profit and Loss Attribution Test Summary Report Parameters

Report Name

Profit and Loss Attribution Test Summary

Report Level Filters

Not applicable

Report Description

This summary report provides a consolidated view of the Profit and Loss Attribution test summary in a single screen for different Portfolios that were executed as part of the profit and loss attribution test.

Report Type

Tabular Report:

It has the following columns:

·        Portfolio

·        Zone

·        KS test metric

·        Spearman Correlation metric

Dimensions

·        Dim MR MDLVAL Business Definition

·        Dim MR Portfolio

·        Dim Date

·        Dim MR MDLVAL P&L Zones

Base Measures

·        KS Test Metric Final Value

·        Spearman Correlation Metric Final value

Computed Measures

Not applicable