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Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

Use this file to discover all available pages before exploring further.

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Context Values

Context ValueDescription
ESConfidenceLevelES confidence level for the generic ES measure
ETGConfidenceLevelETG confidence level for the generic ETG measure
PercentileBucketsNumber of buckets for the empirical distribution charts
ReferenceLevelSpecifies the level at which the charge is calculated for capital allocation
ShiftPercentileThe default percentile of market shifts when displayed by the x Shift Vector Percentile measures
VaEConfidenceLevelVaE confidence level for the generic VaE measure
VaRConfidenceLevelVaR confidence level for the generic VaR measure
VaRTimePeriodVaR time period
WeightedVaRLambdaParameter lambda for the exponentially weighted historical tail measures
The confidence level context values (ESConfidenceLevel, ETGConfidenceLevel, VaEConfidenceLevel, VaRConfidenceLevel) can be used to override the default confidence level in their respective calculations.

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PercentileBuckets

Controls the number of buckets used by the distribution histograms. If a user changes it to, say, 10, the PnL values are re-bucketed and the distribution charts updated.
PnL Distribution charts using the PercentileBuckets context value

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ReferenceLevel

Specifies the cube level at which the capital charge is calculated. Defaults to “Enterprise” (top of house). All capital allocations are relative to the ReferenceLevel. Labels in the selection list read as follows:
  • Desk@Desks — the level “Desk” in the hierarchy Desks
  • Level 5@BookHierarchy — level “Level 5” in the hierarchy BookHierarchy
Once a level is selected, capital charges are computed for the members of that level and allocated down to components according to the chosen capital allocation methodology. Variations: euler, pro_rata, incremental.
Reference Level Illustration

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VaRTimePeriod

Works in conjunction with the Liquidity Horizon field in the Scenario input table. Scales VaR vectors to the specified time period using the Square Root of Time rule. VaRn-days=VaR1-day⋅nVaR_{n\text{-days}} = VaR_{1\text{-day}} \cdot \sqrt{n} Example: If scenarios contain both 10-day and 1-day vectors and VaRTimePeriod is set to 1, the 10-day vectors are normalised to 1 day while the 1-day vectors are unchanged.
10-day VaR and 1-day VaR should not be aggregated — Liquidity Horizon should be used as a slicing hierarchy.

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WeightedVaRLambda

Overrides the default value of the decay factor lambda used in the exponentially weighted historical simulation (WHS) approach. See Weighted VaR.