Methodologies¶
Methodology Introduction¶
A methodology is a group of frameworks that can be included in a study. A methodology can include one or more frameworks that in turn can include one or more models. A framework can be included in multiple methodologies just as a model can be included in multiple frameworks.
Filters can be applied at the methodology, framework, and model level.
An example of a methodology would be one that holds all the frameworks that pertain to the CECL process. The frameworks could in turn be organized into the US portfolios included and hold the models applied to each portfolio.
Methodologies can be created and edited through the UI.
Methodologies can also be exported from the UI, the exported JSON file modified, and then imported and saved as a new methodology.
Creating Methodologies¶
- Navigate to the Methodologies tab.
- Create a new methodology by clicking the icon on top of the Methodologies list on the left.
- Enter a name for the new methodology.
- View the details of the Available Frameworks by expanding them with the to the right of each framework.
- Select the frameworks to include in the methodology by clicking on the icon in the Available Frameworks list. Repeat as necessary.
- Apply a framework filter to an included framework by clicking the icon next to the framework in the Selected Frameworks list, selecting the filter by checking the box to the left of the filter, and then clicking the Save button.
- Apply a filter to the whole methodology by clicking the icon on the upper right, selecting a filter by checking the box to the left of the filter, and then clicking the Save button.
- Save the methodology by clicking the icon on the upper right. Then enter a comment for the methodology save and click the Save button.
Editing Methodologies¶
- Navigate to the Methodologies tab.
- Select a methodology to edit from the Methodologies list on the left.
- View the details of the Available and Selected Frameworks by expanding them with the to the right of each framework.
- Select the frameworks to include in the methodology by clicking on the icon in the Available Frameworks list.
- Remove a selected framework by clicking the icon to the right of the framework.
- Apply a framework filter to an included framework by clicking the icon next to the framework in the Selected Frameworks list and then selecting a filter.
- Remove a framework filter from an included framework by clicking the icon next to the framework in the Selected Frameworks list and then removing the filter.
- Apply a filter to the whole methodology by clicking the icon on the upper right, selecting a filter by checking the box to the left of the filter, and then clicking the Save button.
- Remove a methodology filter by clicking the icon on the upper right, and then click the Remove Filter button.
- Save the methodology by clicking the icon on the upper right. Then enter a comment for the methodology save and click the Save button.
Exporting Methodologies¶
- Navigate to the Methodologies tab.
- Select a methodology to export from the Methodologies list on the left. That will display the contents on the Methodology on the right.
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Click the icon on the upper right, next to the Methodology Name. This creates a JSON file with the exported methodology in the designated export location.
Please note that exporting methodologies requires explicit permission on the user profile.
Creating a Methodology JSON File¶
Modify an exported Methodology JSON file or create a new JSON file with the following attributes:
At the highest level the methodology JSON file can have three components:
| Level | Attribute | Type | Description |
|---|---|---|---|
| 1 | Name | Field | This is the methodology name. The name must be unique within the playpen it exists. If upon import the name already exists, the user will be prompted to enter a new one. |
| 1 | Framework Map | Array | This is an array of frameworks mapped to the methodology. A methodology can have multiple frameworks mapped to it, and a framework can be mapped to multiple methodologies. |
| 1 | Filter | Object | (Optional) This filter object applies to the methodology level. It is commonly used to subset portfolio exposures. For example, it could be used to filter only US exposures into the methodology. |
At the second level, the framework map can map to multiple frameworks. Each framework object can contain the following:
| Level | Attribute | Type | Description |
|---|---|---|---|
| 2 | Name | Field | This is the framework name. The name must be unique. If upon import of the methodology the framework name already exists, the user will be prompted to either keep or update the existing framework. |
| 2 | Type | Field | This is the type of framework. The type must exist in the playpen already, otherwise the file will be rejected. |
| 2 | Model Map | Array | This is an array of models mapped to the framework. A framework can have multiple models mapped to it, and a model can be mapped to multiple Frameworks. |
| 2 | Filter | Object | (Optional) This is a framework filter object. A framework filter can be used to subset the models mapped to filter only credit card exposures into the framework. |
At the third level, the model map within a framework can map to multiple models. Each model can contain the following attributes:
| Level | Attribute | Type | Description |
|---|---|---|---|
| 3 | Name | Field | This is the model name. |
| 3 | Description | Field | This is the model description. |
| 3 | Type | Field | This is the type of model. The type must exist in the playpen already, otherwise the file will be rejected. |
| 3 | Internal ID | Field | If the model has an internal identifier other than the one provided by VOR Stream, it can be indicated here. |
| 3 | LOB | Field | Use this field to indicate the model’s line of business. |
| 3 | Series | Array | This array can contain information about the model. |
| 4 | Document Link | Field | This is a link to the internal documentation of the model. |
| 4 | Equation | Field | This is the equation representing the model expressed in Latex. |
| 3 | Script | Array | The elements in this array will, once the methodology has been imported, be displayed and available for editing in the UI in the Models tab. Please note that at this point the Script array will accommodate one Code/Syntax pair. |
| 4 | Code | Field | This field can hold any code pertaining to the model. This code can be edited in the Models tab in the UI. |
| 4 | Syntax | Field | This field indicates the syntax of the code. Available syntax is Plain Text, Go, Python, SAS, JSON, PMML, XML, JavaScript, and TypeScript. |
| 3 | Filter | Object | (Optional) This filter object applies to the model level. It is commonly used to subset portfolio exposures. For example, it could be used to filter exposures into the right regional model. |
The Methodology JSON file is ready to be imported, once it has been saved.
For an example of a Methodology JSON file, see here
Importing Methodologies¶
- Navigate to the Methodologies tab.
- Import a methodology by clicking the icon on top of the Methodologies list on the left.
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In the Import Methodology pop-up window, select the Methodology JSON file to import by clicking the icon.
The Methodology Name populates with the methodology name in the JSON file but can be overridden by clicking the field and entering a new one. The Methodology Name must be unique within the playpen.
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Enter a required comment to the methodology import.
- Click the Submit button on the lower right. If the JSON file requires no corrections, it will now import the Methodology into the current playpen.
If a framework, methodology filter, or framework filter already exists in the playpen you will be prompted to choose if the existing object should be kept or replaced.
Please note that if a framework is kept, the model map of the framework is also kept regardless, if there are changes to the model map in the JSON file.
Similarly, if a framework is replaced then the model map of the framework is also replaced with the one on the JSON file.
Any custom attribute on the JSON file not mentioned above will not be saved with the Methodology.