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Dokumentation

V_ATVO3II - Define Statistics Type

Define statistic types that determine how the volatilities and correlations within a volatility or correlation type are calculated and interpreted during the value-at-risk calculation.

Assign the statistic type to the volatility types and correlation types.

1. Enter a 3-digit name for the statistics type and maintain the short and long descriptions.
2. Sample size

Here you determine for which historical period the volatilities and correlations are calculated.

1. Sample element category
2. Enter the Confidence Level.
3. Enter the Decay Factor.
4. Save your entries.