13.9.1 VaR Output Including Liabilities

This section explains how to interpret the meaning of the Value-at-Risk (VaR) output from Oracle ALM when the balance sheet includes liabilities. We will specifically explain the difference between the output on the product level (as stored in the FSI_O_STOCH_VAR table) from the output on the balance sheet level (as stored in the FSI_O_STOCH_TOT_VAR table). For simplicity, let us consider a simple balance sheet with only one liability instrument and five rate scenarios.