Parameters of the Utilization risk limit report
Module "Portfolio Service Extended Portfolio Analysis"
The "Utilization risk limit report" has the following parameters in addition to those described in the Parameters of the standard reports section, which you can show and hide using the<CTRL>+<A>key combination:
Parameters | Description |
|---|---|
Calculation type | Select the performance calculation method here:
For the exact calculation of the performance according to these models, see chapter Calculation of performance. |
Interval line chart | Select the desired interval for the line charts for performance and risk from the selection list. The following time periods are available:
|
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. |