Code Explainer | DAX

Financial Stress Testing Scenarios in DAX

This analysis details a DAX parameter named 'Stressed Scenarios,' outlining its tuple structure for financial stress testing. Each tuple captures key economic conditions, scenario descriptions, and measure types, aiding robust risk

Prompt

Stressed Scenarios Parameter = {
    ("Stressed MPE - FX - USD Strengthening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 1 (Stressed MPE)]), 0,"FX - USD Strengthening (10%)", "Stressed MPE"),
    ("Stressed CE - FX - USD Strengthening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 1 (Stressed CE)]), 1,"FX - USD Strengthening (10%)","Stressed CE"),
    ("Stressed EPE - FX - USD Strengthening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 1 (Stressed EPE)]), 2,"FX - USD Strengthening (10%)","Stressed EPE"),
    ("Stressed MPE - FX - USD Weakening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 2 (Stressed MPE)]), 3,"FX - USD Weakening (10%)" ,"Stressed MPE"),
    ("Stressed CE - FX - USD Weakening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 2 (Stressed CE)]), 4,"FX - USD Weakening (10%)" ,"Stressed CE"),
    ("Stressed EPE - FX - USD Weakening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 2 (Stressed EPE)]), 5,"FX - USD Weakening (10%)","Stressed EPE"),
    ("Stressed MPE - IR - LIBOR Up (150 bps) (M)", NAMEOF('Reporting Counterparty'[Scenario 3 (Stressed MPE)]), 6,"IR - LIBOR Up (150 bps)", "Stressed MPE"),
    ("Stressed CE - IR - LIBOR Up (150 bps) (M)", NAMEOF('Reporting Counterparty'[Scenario 3 (Stressed CE)]), 7,"IR - LIBOR Up (150 bps)", "Stressed CE"),
    ("Stressed EPE - IR - LIBOR Up (150 bps) (M)", NAMEOF('Reporting Counterparty'[Scenario 3 (Stressed EPE)]), 8,"IR - LIBOR Up (150 bps)", "Stressed EPE"),
    ("Stressed MPE - IR - LIBOR Down (150 bps) (M)", NAMEOF('Reporting Counterparty'[Scenario 4 (Stressed MPE)]), 9,"IR - LIBOR Down (150 bps)", "Stressed MPE"),
    ("Stressed CE - IR - LIBOR Down (150 bps) (M)", NAMEOF('Reporting Counterparty'[Scenario 4 (Stressed CE)]), 10,"IR - LIBOR Down (150 bps)", "Stressed CE"),
    ("Stressed EPE - IR - LIBOR Down (150 bps) (M)", NAMEOF('Reporting Counterparty'[Scenario 4 (Stressed EPE)]), 11,"IR - LIBOR Down (150 bps)", "Stressed EPE"),
    ("Stressed MPE - Historical - 9/11 Incident (M)", NAMEOF('Reporting Counterparty'[Scenario 5 (Stressed MPE)]), 12,"Historical - 9/11 Incident" , "Stressed MPE"),
    ("Stressed CE - Historical - 9/11 Incident (M)", NAMEOF('Reporting Counterparty'[Scenario 5 (Stressed CE)]), 13,"Historical - 9/11 Incident" , "Stressed CE"),
    ("Stressed EPE - Historical - 9/11 Incident (M)", NAMEOF('Reporting Counterparty'[Scenario 5 (Stressed EPE)]), 14,"Historical - 9/11 Incident", "Stressed EPE"),
    ("Stressed MPE - Historical - Credit Crisis (M)", NAMEOF('Reporting Counterparty'[Scenario 6 (Stressed MPE)]), 15,"Historical - Credit Crisis", "Stressed MPE"),
    ("Stressed CE - Historical - Credit Crisis (M)", NAMEOF('Reporting Counterparty'[Scenario 6 (Stressed CE)]), 16,"Historical - Credit Crisis", "Stressed CE"),
    ("Stressed EPE - Historical - Credit Crisis (M)", NAMEOF('Reporting Counterparty'[Scenario 6 (Stressed EPE)]), 17,"Historical - Credit Crisis", "Stressed EPE"),
    ("Stressed MPE - Historical - Covid 19 (M)", NAMEOF('Reporting Counterparty'[Scenario 7 (Stressed MPE)]), 18,"Historical - Covid 19", "Stressed MPE"),
    ("Stressed CE - Historical - Covid 19 (M)", NAMEOF('Reporting Counterparty'[Scenario 7 (Stressed CE)]), 19,"Historical - Covid 19", "Stressed CE"),
    ("Stressed EPE - Historical - Covid 19 (M)", NAMEOF('Reporting Counterparty'[Scenario 7 (Stressed EPE)]), 20,"Historical - Covid 19", "Stressed EPE"),
    ("Stressed MPE - Historical - Inflation (June 2022) (M)", NAMEOF('Reporting Counterparty'[Scenario 8 (Stressed MPE)]), 21,"Historical - Inflation (June 2022)" ,"Stressed MPE"),
    ("Stressed CE - Historical - Inflation (June 2022) (M)", NAMEOF('Reporting Counterparty'[Scenario 8 (Stressed CE)]), 22,"Historical - Inflation (June 2022)" ,"Stressed CE"),
    ("Stressed EPE - Historical - Inflation (June 2022) (M)", NAMEOF('Reporting Counterparty'[Scenario 8 (Stressed EPE)]), 23,"Historical - Inflation (June 2022)" ,"Stressed EPE"),
    ("Stressed MPE - CCAR - Severely Adverse (M)", NAMEOF('Reporting Counterparty'[Scenario 9 (Stressed MPE)]), 24,"CCAR - Severely Adverse" ,"Stressed MPE"),
    ("Stressed CE - CCAR - Severely Adverse (M)", NAMEOF('Reporting Counterparty'[Scenario 9 (Stressed CE)]), 25,"CCAR - Severely Adverse" ,"Stressed CE"),
    ("Stressed EPE - CCAR - Severely Adverse (M)", NAMEOF('Reporting Counterparty'[Scenario 9 (Stressed EPE)]), 26,"CCAR - Severely Adverse", "Stressed EPE"),
    ("Stressed MPE - CCAR - Exploratory (M)", NAMEOF('Reporting Counterparty'[Scenario 10 (Stressed MPE)]), 27,"CCAR - Exploratory", "Stressed MPE"),
    ("Stressed CE - CCAR - Exploratory (M)", NAMEOF('Reporting Counterparty'[Scenario 10 (Stressed CE)]), 28,"CCAR - Exploratory", "Stressed CE"),
    ("Stressed EPE - CCAR - Exploratory (M)", NAMEOF('Reporting Counterparty'[Scenario 10 (Stressed EPE)]), 29,"CCAR - Exploratory", "Stressed EPE")
}

Answer

Code Analysis

The provided code appears to be written in DAX (Data Analysis Expressions), primarily used in Power BI and other Microsoft products for data modeling and analysis. The code snippet defines a parameter called Stressed Scenarios, which is a collection of scenario tuples related to financial stress testing, particularly focusing on various economic and historical conditions.

Structure Overview

The Stressed Scenarios parameter is created as a table-like structure that contains multiple tuples. Each tuple describes a specific stressed scenario reflecting different financial situations, such as currency strength or historical events.

Breakdown of Each Component

Each tuple in the Stressed Scenarios structure is defined as follows:

Scenario Description: The first element is a string that describes the scenario in detail, e.g., "Stressed MPE - FX - USD Strengthening (10%) (M)".
Name of the Scenario: The second element uses the NAMEOF function, which retrieves the name of a measure or variable, indicating how the scenario is represented in the model.
Index: The third element is an integer that provides a unique index for that scenario within the collection.
Economic Condition: The fourth element details the economic condition that the scenario reflects, such as currency strengthening or historical events.
Measure Type: The fifth element specifies the type of measure being considered, such as "Stressed MPE" (Maximum Potential Exposure), "Stressed CE" (Credit Exposure), or "Stressed EPE" (Expected Positive Exposure).

Example Tuple Breakdown

For instance, consider the first tuple:

("Stressed MPE - FX - USD Strengthening (10%) (M)", NAMEOF('Reporting Counterparty'[Scenario 1 (Stressed MPE)]), 0,"FX - USD Strengthening (10%)", "Stressed MPE")

Scenario Description: Indicates the scenario's name and context (stressed situation due to strengthened USD).
Nameof Function: Fetches and returns the measure name as per the 'Reporting Counterparty' table.
Index: 0 designates this as the first scenario in the collection.
Economic Condition: "FX - USD Strengthening (10%)" describes an economic situation affecting foreign exchange.
Measure Type: "Stressed MPE" categorizes this as related to Maximum Potential Exposure.

Key Concepts Explained

DAX Language Functions

NAMEOF Function: This function returns the name of a specified relationship or measure. It is useful for maintaining flexibility in dynamic report elements since any changes in the measure names would automatically reflect where the NAMEOF function is used.
Tuple Structure: In DAX, collections of data usually come in the form of tables or tuples, where each row represents a unique record that might include different fields of information. This is especially used in scenarios where multiple factors must be analyzed together.

Scenarios and Their Importance

Stress testing is crucial in finance for assessing potential risks and exposure under severe market conditions. The scenarios defined in this code help in evaluating potential risks under various situations, such as:

Currency fluctuations (e.g., strengthening or weakening of USD)
Interest rate changes (e.g., LIBOR rate increases or decreases)
Historical financial crises (e.g., incidents like 9/11, Covid-19)

Additional Example

To illustrate a similar concept, consider another example representing a simplified scenario of interest rate changes:

Interest Rate Scenarios Parameter = {
    ("Interest Rate Increase (200 bps)", NAMEOF('Interest Rate Model'[Increase]), 0, "IR Increase", "Stressed IR"),
    ("Interest Rate Decrease (200 bps)", NAMEOF('Interest Rate Model'[Decrease]), 1, "IR Decrease", "Stressed IR"),
    ("Interest Rate Volatility (Historical)", NAMEOF('Interest Rate Model'[Volatility]), 2, "IR Volatility", "Stressed IR")
}

This example structures scenarios around interest rate movements, showcasing additional tuples that similarly encapsulate scenario descriptions, identifiers, and measure types.

Conclusion

The Stressed Scenarios parameter enables thorough analysis of various stress testing conditions in financial contexts. Understanding each component, such as the structure of tuples and the use of functions like NAMEOF, provides essential insights into developing robust financial models under uncertain economic conditions. For further learning on DAX and data modeling, consider exploring resources available on the Enterprise DNA platform.