Market Risk vs. Behavior Risk

ACTUS simulations can run under two different scenarios:

1. Market Risk Only (scn01)
2. Market Risk + Behavior Modeling (scn02)

These scenarios determine how market data is processed during simulation.

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1. Market Risk Only Scenario (scn01)

• Uses /rf2/eventsBatch simulation request.
• Optimization:
  • All contracts in the batch use the same market data projections.
  • Market data is fetched once at the start and stored in memory.
  • No need for repeated lookups during the simulation.
  • Market data processing happens entirely within the actus-service.

Why is this Efficient?

• Since all contracts share the same market data, fetching it once and reusing it saves computation time.
• The actus-service can run the simulation independently without repeatedly querying the actus-riskservice.

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2. Market Risk + Behavior Modeling Scenario (scn02)

• Uses /rf2/scenarioSimulation request.
• Includes behavior risk modeling, requiring more interactions between components.

Key Differences from scn01

• Market data is needed in two places:
  1. actus-service – For contract-specific cashflow logic.
  2. actus-riskservice – For behavior modeling calculations.
• Market data is fetched dynamically rather than stored in memory.

How Does it Work?

1. The actus-service requests market data from the actus-riskservice whenever needed.
2. The actus-service also sends the current contract state to the actus-riskservice at each scheduled risk callout.
3. The actus-riskservice:
   • Retrieves the required market data.
   • Computes behavior risk effects (e.g., prepayment adjustments).
   • Returns the behavior impact as an event (or null if no impact) to the actus-service.

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3. Summary

Feature	Market Risk Only (scn01)	Market + Behavior Risk (scn02)
Simulation Command	/rf2/eventsBatch	/rf2/scenarioSimulation
Market Data Handling	Fetched once, stored in memory	Looked up dynamically when needed
Component Interaction	actus-service handles all market data	actus-service & actus-riskservice interact dynamically
Behavior Modeling	Not included	Used for contract behavior changes

Choosing the Right Simulation Mode:

• Use /rf2/eventsBatch (scn01) when simulating contracts without behavior risk modeling for faster performance.
• Use /rf2/scenarioSimulation (scn02) when behavior modeling is needed (e.g., prepayment, defaults).

This ensures simulations are both efficient and accurate based on the risk scenario being used.