Value at risk functions

Object.DeltaNormalValueAtRiskModel→DeltaNormalValueAtRiskModel

Result: The DeltaNormalValueAtRiskModel function returns an abstract object that represents the model of the same name for the VaR calculation.

Module "Portfolio Service Extended Portfolio Analysis"

Object.SimpleValueAtRiskModel→SimpleValueAtRiskModel

Result: The SimpleValueAtRiskModel function returns an abstract object that represents the model of the same name for the VaR calculation (Simple VaR).

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRisk.evaluationDate→Date

Result: The EvaluationDate function returns the evaluation date of the Value at Risk.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskCalculationObject.evaluationCurrency→Currency

Result: The EvaluationCurrency function returns the evaluation currency of the ValueAtRiskCalculationObject.

Result: The Risk factors taken into account function provides the risk factors that were included in the determination of this VaR. In the SimpleValueAtRisk model, this list is always empty, as there is no separate separation according to risk factors.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskPosition.stock→number

Result: The Position function provides the position of the instrument in the value-at-risk position.

Result: The ValuableInstruments function returns the list of instruments of the ValueAtRiskCalculationObject that can be valued. With SimpleValueAtRisk, the currencies of currency items can also be included here.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskModel.CalculationObject[evaluation date;evaluation currency;ValueAtRiskPositions;time series parameter estimation period]→ValueAtRiskCalculationObject

Result: The CalculationObject function provides an auxiliary object for the selected value-at-risk model that (pre-)calculates central data for the distribution and identifies the instruments that can be valued in the model as well as the associated risk factors and currencies.

In the case of the SimpleValueAtRiskModel, the risk factors are not considered separately (and therefore not identified), as the calculation basis is always a sum of (specific) instrument valuations in the evaluation currency.

The ValueAtRiskCalculationObject always refers to an evaluation currency and an evaluation date. The estimation period must be specified for the data estimate. The (virtual) portfolio is transferred via the list of value-at-risk positions.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskPosition.deposit→number

Result: The Cost function returns the cost price of the instrument in the value-at-risk position.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRisk.ExposureInValuationCurrency→Number

Result: The ExposureInAuswertungsWährung function returns the risk exposure (market value) in the evaluation currency (i.e. the currency of the underlying ValueAtRiskCalculationObject).

Module "Portfolio Service Extended Portfolio Analysis"

Result: The Instrument function provides the instrument of the value-at-risk position.

Module "Portfolio Service Extended Portfolio Analysis"

Result: The Instruments function returns the list of instruments transferred to the ValueAtRiskCalculationObject. With SimpleValueAtRisk, the currencies of currency items can also be included here.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRisk.confidence→number

Result: The Confidence function provides the confidence level of the value at risk.

Module "Portfolio Service Extended Portfolio Analysis"

DiscountFactor.term→number

Result: The Term function returns the remaining term of the discount factor in days (1 year = 360 days).

Result: The Non-valuableInstruments function returns the list of non-valuable instruments of the ValueAtRiskCalculationObject.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRisk.period→number

Result: The Periods function provides the forecast periods of the value at risk.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskPosition.PositionID→String

Result: The PositionID function returns the position ID of the position.

Module "Portfolio Service Extended Portfolio Analysis"

Result: The RiskFactors function provides the list of risk factors that were determined for the transferred value-at-risk positions as part of the selected model.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRisk.RiskInEvaluationCurrency→Number

Result: The RiskInEvaluationCurrency function returns the risk (VaR) in the evaluation currency (i.e. the currency of the underlying ValueAtRiskCalculationObject).

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskCalculationObject.RiskPositions→List(ValueAtRiskPosition)

Result: The RiskPositions function returns the value-at-risk positions transferred to the ValueAtRiskCalculationObject.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskCalculationObject.ValueAtRisk[Period;Confidence;Restrictive_risk_factors;Restrictive_securities]→ValueAtRisk

Result: The ValueAtRisk function returns the total VaR for a forecast period and a selected confidence level based on the ValueAtRiskCalculationObject (and thus defined for an evaluation currency and an evaluation date). If no restriction is specified, all instruments and risk factors transferred to the ValueAtRiskCalculationObject are taken into account; the restriction allows the desired component of the distribution to be calculated in each case. In the case of the Historical VaR) SimpleValueAtRiskModel, the parameter "Restricting_Risk_Factors" has no effect, it is ignored.

Module "Portfolio Service Extended Portfolio Analysis"

ValueAtRiskCalculationObject.ValueAtRiskWithoutCurrencyRisk[Period;Confidence;Restrictive_risk_factors;Restrictive_securities;Restrictive_currencies]→ValueAtRisk

Result: Based on the ValueAtRiskCalculationObject (and thus defined for an evaluation currency and an evaluation date), the ValueAtRiskWithoutCurrencyRisk function provides the VaR without taking currency risks into account for a forecast period and a selected confidence level. If no restriction is specified, all instruments and risk factors transferred to the ValueAtRiskCalculationObject are taken into account; the restriction allows the desired component of the distribution to be calculated in each case. This function is not available on the SimpleValueAtRiskModel, as calculations are always made in the evaluation currency.

Module "Portfolio Service Extended Portfolio Analysis"

Stock (number): Holdings of the instrument in the value-at-risk position.

Cost price (number): Cost price. If it is a future, this parameter specifies the futures price in contract currency.

Class (string): The portfolio can be divided into sub-portfolios using the class label. All positions with the same class label are combined into a sub-portfolio. VaR types relating to sub-portfolios (Marginal VaR, Component VaR, Incremental VaR) refer to this breakdown.

Balance (number): If this parameter is set, the balance of accounts is not read from the account valuation, but this value is used (only in connection with risk service functions). This functionality is useful if the execution of securities purchases is to be simulated, as this changes the account balance. In this case, the "stock" parameter is ignored in the evaluation.

Result: The ValueAtRiskPosition function generates a value-at-risk position that represents a (virtual) portfolio position consisting of an instrument (security, account, holder, securities account, portfolio), a position and, if necessary (if required for the valuation), a cost price. If a securities account, holder, portfolio or group is modeled as a single value-at-risk position, securities and accounts are taken into account in the calculation of the standard deviation, but not special investments. Currency positions are ignored in the DeltaNormalValueAtRisk model. These can be modeled as foreign currency accounts if necessary.

If the risk service involves a special investment (forward exchange transaction, fixed-term deposit, margin, loan), its parameters are adopted as fixed. The corresponding object should therefore generally originate from a portfolio valuation on the evaluation date.

Module "Portfolio Service Extended Portfolio Analysis"

DiscountFactor.currency→Currency

Result: The Currency function returns the currency of the discount factor.

ValueAtRiskCalculationObject.currencies→Currency

Result: The Currencies function returns the currencies that were determined for the transferred value-at-risk positions as part of the selected model.

No currencies are determined in the SimpleValueAtRisk model.

Module "Portfolio Service Extended Portfolio Analysis"