The tool supports interface of Foresight Analytics Platform 9 or earlier.
This model is used to estimate risks. Mathematical justification is given in the Value-At-Risk section of the library of methods and models.
The Value-At-Risk (VaR) model:
Initially, model editor includes the following panels:
Calculation Periods. Note that the VaR model is calculated based only on daily frequency.
A number of advanced panels opens after determination of the basic model parameters on the Specification panel:
Advanced Parameters. It is similar to the standard panel.
View Results. It is identical to a standard panel.
NOTE. Working with the Value-At-Risk model requires modeling variables that are separate repository objects.
See also:
The Model Object | Calculation Method for the Model Value-At-Risk