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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.

Goal

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
 

Solution

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In this Document
Goal
Solution
References


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