Step 2: Execute the invoice
ValueAtRiskCalculationObject.ValueAtRisk[Period;Confidence;Restrictive_risk_factors;Restrictive_securities]→ValueAtRisk
Result: The function returns the total VaR for a forecast period and a selected confidence level based on the ValueAtRiskCalculationObject (and thus fixed to 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 Simple VaR model, the Restrictive_Risk_Factors parameter has no effect and is ignored.
ValueAtRiskCalculationObject.ValueAtRiskWithoutCurrencyRisk[Period;Confidence;Restrictive_risk_factors;Restrictive_securities;Restrictive_currencies]→ValueAtRisk
Result: Based on the ValueAtRiskCalculationObject (and thus fixed to an evaluation currency and an evaluation date), the function returns 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 Simple VaR model, as calculations are always made in the evaluation currency.
ValueAtRiskCalculationObject.ValueAtRiskCurrencyRisk[Period;Confidence;Restrictive_risk_factors;Restrictive_securities] →ValueAtRisk
Result: The function returns the currency VaR for a forecast period and a selected confidence level based on the ValueAtRiskCalculationObject (and thus fixed to an evaluation currency and an evaluation date). If no restriction is specified, all instruments and risk factors as well as currencies 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 Simple VaR model, as calculations are always made in the evaluation currency.