Component Wise Var Does Not Match With Portfolio And Risk Factor Var In Case Of Forex Forward:How Var is calculated
(Doc ID 2196413.1)
Last updated on SEPTEMBER 25, 2018
Applies to:Oracle Financial Services Market Risk - Version 2.5.1 and later
Information in this document applies to any platform.
How var is calculated.
Qn1:When we run an analytic model var for forex forward, the instrument wise component var does not match with portfolio var and risk factor var
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