13.10 Value-at-Risk

In our current implementation, Value-at-Risk is the worst loss of present value over an At-Risk period (time horizon), given a confidence level. The maximal At-Risk period is 10 years.

Oracle ALM outputs Value-at-Risk for as many confidence levels as there are scenarios in Monte Carlo simulation. In other terms, it outputs the full present value loss probability distribution and its inverse, which are much richer statistics than a single VaR number.

The following section describes our current approach to estimating Value-at-Risk.