Summary

The ewrRiskMeasure function allows to retrieve a number of different risk measures for a list of instruments based on a variety of scenarios and calculation parameters. Three calculation levels exist: “portfolio” level, “contributions” level and “positions” level.

Examples

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

=ewrRiskMeasure("var", "portfolio", C11, D11, "EUR", 10, 0.95, "historicalInnovations", TRUE)

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

=ewrRiskMeasure("var", "portfolio", C11:C50, D11:D50, "EUR", 10, 0.95, "historicalInnovations", TRUE)

This retrieves the value at risk of a portfolio of instruments whose IDs and weights are displayed by C11:C50 and D11:D50 respectively. The weights must sum up to 100%. The currency is EUR. The rest of the parameters are the default ones.

=ewrRiskMeasure("var", "portfolio", {"CHF", "EUR"}, {0.5, 0.5}, "EUR", 10, 0.95, "historicalInnovations", TRUE, 1, TRUE)

The example above can be copied and pasted to Excel and will give an instantaneous result. The function computes the portfolio VaR for a risk horizon of one day and accounting for the positions’ liquidity risk.

=ewrRiskMeasure("var", "contributions", C11:C50, D11:D50, "EUR", 10, 0.95, "historicalInnovations", TRUE, 20, TRUE)

Retrieves the contributions to the portfolio risk of each of the positions for a 20 days risk horizon. C11:C50 stands for the asset IDs of the portfolio and D11:D50 for the weights. The weights must sum up to 100%. The currency is EUR.

Syntax

ewrRiskMeasure(Measure, CaluclationsLevel, AssetIDs[], Weights[], Currency, RiskHorizon, ConfidenceLevel, ScenarioType, Annualized, ScalingHorizon, LiquidityAdjusted)
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).
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) 10 The time interval over which the risks are estimated (i.e. between now and now + risk-horizon).
ConfidenceLevel (Optional) 0.95 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.
ScalingHorizon (Optional) RiskHorizon  
LiquidityAdjusted (Optional) false If true, then risk computations will account for the liquidity risk.