Context Values

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Context Values

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.

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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.

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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. $VaR_{n\text{-days}} = VaR_{1\text{-day}} \cdot \sqrt{n}$ 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.

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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.