Summary

The elRiskMeasure function retrieves a number of different risk measures for a list of instruments based on a variety of scenarios and calculation parameters.

Examples

In these examples the risk measure that the function aims to retrieve is the value at risk (VaR).

=elRiskMeasure("var","positions",C11,D11,"EUR","10d",95, "historicalInnovation", "relative", TRUE)

Retrieves the value at risk of one unique asset whose ID and quantity are is in cell C11 and D11 respectively. The currency is EUR. The RiskHorizon is 10 days, the CondifenceLevel is 95%, the ScenarioType is historical innovation and MeasureType and Annualized are set at “relative” and TRUE. These are the default parameters.

=elRiskMeasure("var","portfolio",C11:C50,D11:D50,"EUR","10d",95, "historicalInnovation", "relative", TRUE)

Retrieves the value at risk of a portfolio whose positions and quantities are displayed by C11:C50 and D11:D50 respectively. The currency is EUR. The rest are the default parameters

=elRiskMeasure("var","portfolio",{"CHF","EUR"},{1000, 1000},"EUR","10d",95, "historicalInnovation", "relative", TRUE)

This example can be copied and pasted to Excel and will give an instantaneous result.

=elRiskMeasure("var","contributions",C11:C50,D11:D50,"EUR","10d",95, "historicalInnovation", "relative", TRUE)

Retrieves the contributions to the portfolio value at risk of each asset inside the portfolio. C11:C50 stands for the asset IDs of the portfolio and D11:D50 for the quantities. The currency is EUR and the rest are the default parameters.

Syntax

elRiskMeasure(Measure, CaluclationsLevel, AssetIDs[], Quantities[], Currency, RiskHorizon, ConfidenceLevel, ScenarioType, MeasureType, Annualized)
Argument name Default Description
Measures   The name of the measure to be returned.
CalculationsLevel   The granularity at which the results should be calculated (individual asset, portfolio).
AssetIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
Quantities (Optional) 1 Asset quantities in the same orders as the specified asset ids.
Currency (Optional) local The ISO code of the reference currency for deriving the calculation results. Specify “local” to use the instruments native currency where appropriate. It is mandatory to specify a currency when the granularity is “portfolio”.
RiskHorizon (Optional) 10d The time interval over which the risks are estimated (i.e. between now and now + risk-horizon).
ConfidenceLevel (Optional) 95 The confidence level for the tail statistics estimators VaR and ES. It is number in percent between 85 and 99 [%].
ScenarioType (Optional) historicalInnovation How the possible scenarios for the asset prices are computed.
MeasureType(Optional) relative Whether the result should be normalized. The input should be “relative” or “absolute”. “True” or “False” are still supported for the moment.
Annualized (Optional) true Whether the result should be expressed as an annualized figure. True or False.