Simple Value at Risk
Module "Portfolio Service Extended Portfolio Analysis"
Simple Value at Risk calculates the current value of the instruments taken into account in the evaluation currency for the days of the time series parameter estimation period (i.e. a value history of the virtual portfolio consisting of the selected instruments and holdings). The value at risk on the evaluation date is estimated on the basis of this one value time series (using the variance).
One advantage of Simple VaR is that it is generally more robust against missing values. Up to 20% of the values in the desired parameter period can be missing for a single instrument. If more values are missing, the corresponding instrument is treated as non-assessable and listed accordingly in the list of non-assessable instruments. Missing values are filled in by linear interpolation of the price time series.
Since the calculation is based on logarithmic returns, virtual portfolios whose value histories show negative values in the parameter estimation period are also treated as non-valuable.
Some (special) investments such as fixed-term deposits and loans are not included in Simple VaR, i.e. they do not appear in the list of non-valuable instruments.
As with the implementation of the delta-normal model in the Infront Portfolio Manager, an exponential weighting of the returns is also carried out in the Simple VaR when calculating the standard deviation.
The following evaluations are based on Simple VaR, for example:
The function calls for Simple VaR are based on the VaR from the delta-normal model. The documentation for the delta-normal approach with the corresponding changes for the simple VaR approach is reproduced below (the changes are highlighted in gray).