Summary

The ewrRiskMeasureTaxons function retrieves different risk measures for a list of taxons based on a variety of calculation parameters. The taxons are like categories that you define when producing the function. For example a portfolio will have the following categories: country, currency and asset type. For each category, you may have subcategories. For instance in currency, the risk measures will be grouped in CHF, EUR and USD. These subcategories are the taxons that you will define in the function. They are only 2 calculation levels possible: contributions and positions.

Taxons[]mxn: m is the number of rows in the cells’ selection. It should be equal to the number of positions. n is the number of columns in the cells’ selection. Each column represents a category.

Examples

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

=ewrRiskMeasureTaxons("var", "positions", C11:C50, D11:D50, [E11:F50], "EUR", 10, 0.95, "historicalInnovations", TRUE)

Retrieves the value at risk of the taxons defined in [E11:F50]. Asset IDs and weights are in cell C11:C50 and D11:D50 respectively. 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. When “positions” is selected as a calulation level, the computation works so that the grouped taxons are considered as portfolios. If one of the categories was currency and one of its taxon was CHF, this function would give you the “var” of the taxon CHF.

=ewrRiskMeasureTaxons("var", "contributions", C11:C50, D11:D50, [E11:F50], "EUR", 10, 0.95, "historicalInnovations", TRUE)

Retrieves the contributions to the portfolio risk of each of the taxons defined in [E11:F50] for a 10 days risk horizon. C11:C50 stands for the asset IDs of the portfolio and D11:D50 for the weights. The currency is EUR. When “contributions” is selected as a calulation level, the computation works so that that each positions’ contributions to the portfolio risk measure is aggregated according to the taxons they belong to. The sum of the taxons’ contributions should equal 1 just like the sum of the positions’ contributions.

Nested taxons

You can nest taxons inside taxons using “/”. For instance, in a column of your Excel, the following taxons and nested taxons could be defined as such: France, USA/Los Angeles, USA/New York and Switzerland. Basically, it shows that a deeper granularity is available for the USA.

Syntax

ewrRiskMeasureTaxons(Measure, Calculationlevel, AssetIDs[], Weights[], Taxons[]mxn, 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”.
Taxons   Taxons are group names that will categorise your positions.
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) historicalInnovations 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.
ScalingHorizon (Optional) RiskHorizon  
LiquidityAdjusted (Optional) false If true, then risk computations will account for the liquidity risk.