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,"weight","EUR", 10, 0.95,,,"historicalInnovations", "relative", TRUE)

Retrieves the value at risk of one unique asset whose ID and weight 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 to “relative” and TRUE. These are the default parameters.

=ELRISKMEASURE("var","portfolio",C11:C50,D11:D50,"quantity","EUR", 10,,0.925,0.975, "historicalInnovations", "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. Instead of using the confidence level, confidence lower and upper bounds are parametrized to obtain a “meanVaR”. The measure is more robust as more points are taken into account in the computation. For instance, the impact is quite strong when looking at the var contributions.

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

This example 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 accounts for positions’ liquidity risk.

=ELRISKMEASURE("var","contributions",C11:C50,D11:D50, "quantity", "EUR", 10, 0.95,,, "historicalInnovations", "absolute", 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 quantities. The currency is EUR.

Syntax

ELRISKMEASURE(measure, granularity, assetIds[], amounts[], amountScheme, currency, riskHorizon, confidenceLevel, confidenceLowerBound, confidenceUpperBound, scenarioType, measureType, annualized, scalingHorizon, liquidityAdjusted)
Argument name Default Description
measure   The name of the measure to be returned.
granularity   The granularity at which the results should be calculated (individual asset, portfolio).
assetIds   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
amounts 1 (for quantitites) quantities or weights of the assets. Weights must sum up to 100%.
amountScheme (Optional) quantity quantity or weight
currency 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 [%].
confidenceLowerBound (Optional)   The confidence bounds are to be used with VaR only. They are numbers in percent between 85 and 99 [%]. The VaR is then computed over a range of points (“meanVaR”).
confidenceUpperBound (Optional)   The confidence bounds are to be used with VaR only. They are numbers in percent between 85 and 99 [%]. The VaR is then computed over a range of points (“meanVaR”).
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) FALSE 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.