Using MDX, it is possible to define bucket or group.
Here is a sample MDX that creates dynamically two buckets Europe and Asia in your existing hierarchy (I assume dimension and hierarchy have the same name) :
WITH
Member [Underlyings].[Underlyings].[ALL].[Europe] AS Aggregate(
{
[Underlyings].[Underlyings].[ALL].[AllMember].[EUR],
[Underlyings].[Underlyings].[ALL].[AllMember].[GBP],
[Underlyings].[Underlyings].[ALL].[AllMember].[CHF]
}
)
Member [Underlyings].[Underlyings].[ALL].[Europe].[EUR] AS Aggregate(
{
[Underlyings].[Underlyings].[ALL].[AllMember].[EUR]
}
)
Member [Underlyings].[Underlyings].[ALL].[Europe].[GBP] AS Aggregate(
{
[Underlyings].[Underlyings].[ALL].[AllMember].[GBP]
}
)
Member [Underlyings].[Underlyings].[ALL].[Europe].[CHF] AS Aggregate(
{
[Underlyings].[Underlyings].[ALL].[AllMember].[CHF]
}
)
Member [Underlyings].[Underlyings].[ALL].[Asia] AS Aggregate(
{
[Underlyings].[Underlyings].[ALL].[AllMember].[JPY]
}
)
Member [Underlyings].[Underlyings].[ALL].[Asia].[JPY] AS Aggregate(
{
[Underlyings].[Underlyings].[ALL].[AllMember].[JPY]
}
)
SELECT NON EMPTY {
[Underlyings].[Underlyings].[ALL].[Europe],
[Underlyings].[Underlyings].[ALL].[Europe].[EUR],
[Underlyings].[Underlyings].[ALL].[Europe].[GBP],
[Underlyings].[Underlyings].[ALL].[Europe].[CHF],
[Underlyings].[Underlyings].[ALL].[Asia],
[Underlyings].[Underlyings].[ALL].[Asia].[JPY]
} ON ROWS
FROM [YourCube]
With ActivePivot Live, user can write their own MDX (you can't do it with Excel though).
Then the interface will be smart enough to give the user all regular controls (wizard manipulations, drill down, sort, filtering, ...) on this table. On top of that, they will be able to navigate in it as if it was a regular hierarchy !

If you don't want users to write their own MDX, you have two solutions :
- have someone with enough MDX knowledge that will write those queries, save it in a bookmark that will be shared with non technical users
- extend the interface to create your own UI that generate those buckets: non technical users will be autonomous