Parameters of the "Monitoring risk limit" evaluation
Module "Portfolio Service Extended Portfolio Analysis"
The "Monitoring risk limit" contains the following parameters:
| Parameters | Description |
|---|---|
Evaluation date | Evaluation date of the evaluation, which you can enter in the form dd.mm.yy, for example. The default setting is the current date or the evaluation date entered in the input field on the "Start" tab. |
Currency | Evaluation currency in which the risk is calculated. The default setting is the default evaluation currency of the input object (e.g. holder). |
Confidence | Probability that the amount of losses in the forecast period will not exceed the VaR. |
Forecast period | Period for which the VaR is determined (see definition of value at risk). The information is given in periods (trading days). |
Time series analysis period | Use this parameter to specify how many periods of the historical time series should be used for parameter estimation. The information is given in periods (trading days). |
Restriction to instruments that can be valued | If you activate this checkbox, the value at risk is only calculated on the measurable instruments, i.e. the result is always a value. Non-valuable instruments (e.g. special investments) are simply not taken into account. |
General information on the parameters can be found in the section Parameters of the securities account evaluations.