ELRISKMEASURETAXONS
Last modified in version : -
Purpose : generic function to retrieve any type of risk figures at the taxon level
Summary
The ELRISKMEASURETAXONS 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).
=ELRISKMEASURETAXONS("var","positions",C11:C50,D11:D50,"weight","EUR", E11:F50, 10, 0.95,,,"historicalInnovations","relative", 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 ConfidenceLevel is 95%, the ScenarioType is historical innovation and MeasureType and Annualized are set to “relative” and 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.
=ELRISKMEASURETAXONS("var","contributions",C11:C50,D11:D50,"quantity", "EUR", E11:F50, 10,,0.925,0.975,"historicalInnovations","relative", 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 quantities. 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. The sum of the taxons’ contributions should equal 1 just like the sum of the positions’ contributions. Also, 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.
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 Luxembourg. Basically, it shows that a deeper granularity is available for the USA.
Syntax
elRiskMeasureTaxons(measure, granularity, assetIds[], amounts[], amountScheme, currency, taxons[], riskHorizon, confidenceLevel, confidenceLowerBound, confidenceUpperBound, scenarioType, measureType, annualized, scalingHorizon, liquidityAdjusted, showAggregatedWeights)
| 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”. |
| 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 [%]. |
| 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. |
| showAggregatedWeights (Optional) | FALSE | Additionally show the aggregated weights per taxon in the result |