Summary

The elVar function retrieves the value at risk for a list of instruments.

Examples

=elVar("positions","US0378331005")

Retrieves the value at risk of an Apple share using the default calculation parameters.

=elVar("positions",A2:A10)

Retrieves the value at risk of a list of instruments provided in cells A2 to A10.

=elVar("positions","US0378331005",,,"30d")

Retrieves the value at risk of an Apple share over a horizon of 30 days.

=elVar("portfolio",C11:C50)

Retrieves the value at risk of a portfolio whose positions are in cells C11 to C50.

=elVar("portfolio",C11:C50,,"CHF","30d",99,"historicalInnovation")

Retrieves the value at risk of a portfolio in CHF using a risk horizon of 30 days, a confidence level of 99% and historical innovation that is the model from which the assets’ risk factors are drawn.

=elVar("contributions",C11:C50,,"CHF","30d",99,"historicalInnovation")

Retrieves the contribution of each position located in C11:C50 to the value at risk of a portfolio in CHF. The function uses a risk horizon of 30 days, a confidence interval of 99% and historical innovation that is the model from which the assets’ risk factors are drawn.

Syntax

elVar(CalculationLevel, AssetIDs[], Quantities[], Currency, 
	RiskHorizon, ConfidenceLevel, ScenarioType, 
	MeasureType, Annualized)
Argument name Default Description
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.