Parameters of the report Risk contribution per investment instrument
Module "Portfolio Service Extended Portfolio Analysis"
The "Report risk contribution per investment instrument" has the following parameters in addition to those described in the section Parameters of the standard reports , which you can show and hide using the key combination<STRG>+<A>:
Parameters | Description |
|---|---|
Confidence | Probability that the amount of losses in the forecast period will not exceed the VaR. The default setting is 95%. |
Forecast period | Period for which the VaR is determined (see definition of value at risk). The information is given in periods (trading days). The default setting is 20 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). The default setting is 20 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 are simply not taken into account. |