The tool supports interface of Foresight Analytics Platform 9 or earlier.

Parameters

Model calculation parameters are selected on this panel. The panel appearance may vary depending on the calculation method, but there are a number of common parameters. Selecting the checkbox means that the parameter should be used on model calculation. All checkboxes are deselected by default:

Logarithmic Yield.
The Hypothesis of Zero Mean.
Differentiate Short and Long Positions.
Enable Back-Testing, Observations. Selecting the checkbox enables the user to select the number of observations in the value editor, on which the back-testing is based. The default value is 250. The number of back-testing observations cannot exceed the number of calculation points. If back-testing is executed, the Back-Testing Results panel is also displayed.

The following parameters do not require checkboxes to be selected or deselected:

Forecasting Horizon (Days). This is one of the basic model parameters; select its value in the value editor. The default value is 1 day. There are commonly adopted forecasting horizons: Basel Accord uses a 10 days horizon, while the Risk Metrics methodic uses a 1 day horizon. Most frequently the calculation is based on a time horizon of 1 day. A 10 days horizon is used to calculate the amount of capital covering the possible loss.
Calculation Method. Select the method to calculate the VaR model in the drop-down list. Parameters shown on the panel depend on the selected method.
- Delta-Normal. Default.

- - The Hypothesis of Random Walk. Select or deselect the checkbox to determine whether the hypothesis of random walk should be used in calculations.
- Historical Simulation. The method does not require defining additional parameters.
- Monte Carlo Approach. The additional parameters should be determined:

1. - Lambda EMWA. Specify the value of Lambda EMWA in the value editor. The default value is 0.90.
  - Use Cholesky Factorization. Select or deselect the checkbox to determine whether Cholesky factorization should be used in calculations. The checkbox is deselected by default.
  - Distribution of Financial Instruments. Each of the financial instruments selected on the Specification panel must be mapped with the distribution type selected in the drop-down list. Double-click the selected cell to show this list.