:: Future at Risk
Portfolio's VaR
and Back Testing
Risk Indicators
Marking to the
Future

 

 
 
 
 
Position date     No. of Simulation 
All dates must be in dd/mm/yyyy format.
Position date starts from 14/01/2003 to 17/11/2011.
 Confidence Level    %
  Confidence Level can be chosen between 75% and 99.95%.
 
Portfolio's Composition Input (Unit):
Govt Bond
Corp Bond
SET
USD
EURO
JPY100
 
 
 
   

Note
  • The value of each composition must be bound between -1000 and 1000.
  • Total Portfolio's composition cannot be zero.
  • Assume that each asset class has a unit price.
 
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