In some use cases the Vector Risk solution may be required to calculate some or all of the Bank's var vectors and then export them for input into a Bank in-house IMA aggregator.
To do this, all that is required is to add a task of type "VarVectorExport" to the workflow and ensure that the export task has a dependency on the relevant "ExpectedShortfall" task, which is the one that will be preparing the var vectors from raw trade inputs.
Note: The term "Var Vector" is commonly used to describe the underlying portfolio Mtms on each scenario, which can be used to calculate a Var or an expected shortfall result (or both).
The CSV export file uses the same specific formatting as the var vector load task. You can find the details of this format in the section Var Vector Load.
Manual Export
To manually export the var vectors, double click on the task once it has run successfully. Here you can see the data that has been exported to a protected folder on the cloud (see Automated Export below). You can then click on the “Export” button to get a copy in csv format directly into a folder on your local machine.
Automated Export
The csv file is exported to a secure location on the cloud (add instructions to retrieve).