16.1.5 VaR Calculation

For the ith rate path, VaR for mth product leaf is calculated as = Market Value of mth product leaf - Dynamic Accrued Present Value for ith rate path for mth product leaf. VaR at product leaf-level gets populated into the FSI_O_STOCH_VAR table.

VaR output, for ith rate path, for all product leafs, under a reporting currency is aggregated and populated at reporting currency level into FSI_O_STOCH_TOT_VAR table.

Once VaR is calculated for product leaf and reporting currency level for all rate paths, CFE would sort the values from ascending order. CFE would assign the lowest probability to the lowest VaR value.

For further information on Value at Risk, see the Value-at-Risk section in Monte Carlo Analytics.