Purpose

This template has no “Aggregate View” tab. Only the positions referred as alternatives should be inserted in this template. The goal is to obtain a granular analysis for each of the assets like measuring the greeks and sensitivities. A risk factor exposure function is also being used in the “Risk Factor Exposures” tab which gives you access to a breakdown of risk sources of a specific asset.

Structure

The tabs have dependencies on each other and constitute logical progress.

  • Inputs: identifiers (required); quantities (required); Aggregated value of the positions; prices.
  • Granular View: The measures are displayed at the position level.
  • Risk Factor Exposures: Select one of the asset in the list to know about its exposures to the different risk factors such as underlyings -spot, RiskFreeBond etc. For more details, check out (ElRISKFACTOREXPOSUREFULL).
  • Glossaries: In there, the content must remain unchanged. It is an informative tab in which are available the stress scenario lists and parameters with their explanations.

How to start?

As always, the mandatory fields that need to be provided by you are in the “Inputs” tab.

alternatives

To be noted: Asset proxy needs to be correctly inserted in the configuration file if non-covered assets are to be discovered. Once configured, the template will search for the proxy in this file. Beta proxy are then to be entered if the proxy match is not 1. (Asset Proxy configuration)