VaR_Spec__Report_Type

The following information can be also generated by setting Key Model[Simulation]::Report Distribution entry of the Key VaR Spec::Simulation Mdl object to

The cumulative probability function of the tradable price at the VaR horizon time.

The probability density function of the tradable price at the VaR horizon time.

The cumulative probability function of the loss realized at the VaR horizon time.

The probability density function of the loss realized at the VaR horizon time.

All paths generated during the simulation may be also reported by setting Key Model[Simulation]::Simulated Values entry of the Key VaR Spec::Simulation Mdl object to

Available

One single number is returned, which equals the requested VaR.

An object of type VaR Rep is returned that includes the folowing:

The requested VaR number.

The standard error associated with the requested VaR number.

The VaR numbers corresponding to 95% and 99% confidence intervals.

The standard errors associated with the VaR numbers corresponding to 95% and 99% confidence intervals.

The calculated spot price of the referenced tradable.