Summary

The ewrVar function retieves the volatility for a list of instruments when the calculation level is “portfolio” or the asset contributions to the volatility when the calculation level is “contributions”. “Positions” level is also possible. Though, the measure will always be expressed in relative term when using weights in the parameters instead of quantities.

Examples

=ewrVar("portfolio",C11,D11,"EUR","10d",95,"historicalInnovation",TRUE)

Retrieves the value at risk of a portfolio containing one unique asset whose ID is in cell C11 and weight in cell D11. The weight must be equal to 100%. The currency is EUR. The RiskHorizon is 10 days, the ConfidenceLevel is 95%, the ScenarioType is historical innovation and Annualized is set at TRUE. These are the default parameters.

=ewrVar("portfolio",C11:C50,D11:D50,"EUR","10d",95,"hsitoricalInnovation",TRUE)

Retrieves the value at risk of a portfolio where C11:C50 are the asset IDs whithin the portfolio and D11:D50 are the weights of each asset that sum up to 100%. The currency is EUR. The rest are the default parameters.

=ewrVar("portfolio",{"CHF","EUR"},{0.5,0.5},"EUR","10d",95,"historicalInnovation",TRUE)

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

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

Retrieves the contributions to the value at risk of each asset of the portfolio. C11:C50 stands for the asset IDs contained in the portfolio and D11:D50 for the weights. The weight must sum up to 100%. The currency is EUR and the rest of the parameters are the default ones.

Syntax

ewrVar(CalculationsLevel, AssetIDs[], Weights[], Currency, 
	RiskHorizon, ConfidenceLevel, ScenarioType, 
	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).
Weights   Asset weights in the same orders as the specified asset ids and must sum up to 100%.
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.
Annualized (Optional) true Whether the result should be expressed as an annualized figure. True or False.