Analytics in Finance and Risk Management

6 Data accounting

Michal Gajda

DOI: 10.1201/9780367854690-6

1 Introduction

Error tracing and error-impact estimation have been a holy grail of practical use of automated approaches to risk reporting (Basel Committee on Banking Supervision 2013), large-scale distributed error tracking (Julian 2017), and automated debugging.

Since the processing of risk reports and data analysis pipelines can be frequently expressed using a sequence relational algebra operations, we propose a replacement of this traditional approach with a data summarisation algebra that helps to determine the impact of errors. It works by defining data analysis of a necessarily complete summarisation of a dataset, possibly in multiple ways along multiple dimensions.

We also ...