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Consolidated VaR Calculation for Sub-Trees in Risk Hierarchy ( RELNBANK_461_RISK_RHVAR )

Short text

Consolidated VaR Calculation for Sub-Trees in Risk Hierarchy

Scope of Functions

At each node in a risk hierarchy, you can now set an indicator that switches off the value at risk display beneath the node (independent of whether the indicator is set for the nodes beneath this node). This setting only applies for value at risk that is determined on the basis of historical or Monte Carlo simulation.

This function has been developed with a view to saving on runtime (full evaluations) and memory (delta/gamma evaluations and full evaluations).

Only those VaR evaluations with a VaR type in which the "Consolidated VaR" indicator is set will take account of the sub-trees in a risk hierarchy marked for consolidated VaR reporting.