Value At Risk Details
Information in this section is displayed in the base currency of your account and is sorted by base currency and then by sub-portfolio. Currency risk factors are displayed in their own section below the Sub-Portfolios.
Data in this section is displayed for the 99.5% confidence level from two simulation methods: Variance-Covariance and Historical. For each symbol in a sub-portfolio and for each currency, we display the simulated price, the percent difference between the price and the simulated price, and the monetary difference between the simulated value and the closing value. The simulations show the market outcome that was found at the 99.5% confidence level. Specifically, it shows the price of the underlying in that scenario, the percentage price change versus the previous close and the P&L for the sub-portfolio (the underlying and its derivatives) that results from that market outcome.
Prices
Prices are displayed to a precision used by the conventional tick rule. If the price is less than 100, it is displayed to four decimal places. Otherwise it is displayed to two decimal places. Currency risk factors are always displayed to four decimal places.
| Column | Description |
|---|---|
| Underlying Symbol | The symbol of the underlying contract. |
| Underlying Description | The description of the underlying. |
| Price |
This column shows the price of the risk factor as of yesterday's close. If the risk factor is a stock, the price is the stock price. In the Currency Risk Factors section, the price is the exchange rate of that currency vs. USD. |
| Value | The closing value of the symbol in the account's base currency. |
| Variance-Covariance Method | |
| Price | The simulated price of the risk factor. |
| Change % | The difference between the simulated price and the closing price expressed in percent. |
| P/L | The monetary difference (in base currency) of simulated value from the closing value. |
| Historical Method | |
| Price | The simulated price of the risk factor. |
| Change % | The difference between the simulated price and the closing price expressed in percent. |
| P/L | The monetary difference (in base currency) of simulated value from the closing value. |
Total amounts are displayed at the bottom for the following columns (the P/L totals also appear in the Value At Risk Summary section):
- Value
- Variance-Covariance Method P/L
- Historical Method P/L