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How to create a weighted average Moody's rating? Expand / Collapse
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Posted Monday, April 29, 2013 2:25 PM
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I've gotten pretty far with this, but I'm falling one step short...
The basic data in my cube pertains to holdings of financial instruments in portfolios. An "asset" would be a security, and these securities are held in one or more portfolios. Each security is rated by Moody's, and these ratings are in alpha-numeric buckets. Examples of the possible ratings would be: Aa3, Aa2, Aa1, Baa3, Baa2, Baa1, Ba3, Ba2, Ba1, Caa3, Caa2, etc.
I'd like to create a calculated measure that is the weighted average Rating. (The weighting factor is the dollar Amount of each holding).
I've created a table that assigns each rating a numeric equivalent. In my fact table I've created a field (wgt Rating) that multiplies the Amount of the holding by the rating's numeric equivalent, and I've added this field as a measure in the cube, with the visibility set to False. Then I created a calculated measure that divides the wgt Rating by the Amount of the holding. This effectively gives me a weighted average Rating, but it is numeric. To get the alpha Rating, I have to go back to the table and interpolate.
Can anyone advise me on how to get SSAS to take that last step and return the alpha Rating?
Thanks,
Stumped.
Post #1447764
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