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How to Validate: MV(Market Value) and VaR(Value at Risk) Calculation Using Historical Simulation In a Static Stochastic Process (Doc ID 2583899.1)

Last updated on FEBRUARY 23, 2021

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.5 and later
Information in this document applies to any platform.
Oracle Financial Services Enterprise Performance Management (EPM)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI)
Oracle Financial Services Asset Liability Management (ALM)

Goal

In ALM 8.0.5 version Validation of Output of MV(Market Value) and VaR(Value at Risk) calculation is required using historical simulation in a Static Stochastic Process

For this scenario a Static Stochastic Process is defined for MV and VaR calculation.
The average market value calculated manually should match with the average market value calculated by system. Please provide calculation and validation.
 

Solution

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In this Document
Goal
Solution
References


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