The system auto-saves all of your operations. You can look up previous value-at-risk results using the “search for reports” function. Alternatively, you may export data to an Excel spreadsheet if you so choose.
The system provides a price-weighted stock market index as well as sector-specific indices (financial sector index, electronics sector index, etc.) as performance indices for equity assets. It also provides the real effective exchange rate (REER) published by the Taipei Foreign Exchange Market Development Foundation as an exchange rate index and the UOB Government Bond Index as an interest rate index. The Taiwan Government Bond Index will be included in the near future.
Stress events are extreme financial market anomalies that have occurred in the past (such as the 9/11 attacks). Values are arrived at objectively through research of similar events. Alternatively, users may set their own criteria based on their experience.
The system is installed on the client’s own infrastructure, so all computation is done locally within your company, keeping your portfolio data safely guarded.
The system relies on widely accepted statistical methods for risk assessment, including variance/covariance analysis, factor analysis, historical simulation, and the Monte Carlo method. Test results are in keeping with predictions found in the relevant literature. Furthermore, TEJ has renowned scholars on staff to validate the system.
A data point is only considered valid if there is no missing value for any of the risk factors. Invalid data points are excluded from the analysis. The number of asset types usually increases after consolidation, and because each factor has a different set of transaction dates, the likelihood of exclusion becomes higher.
Information on newly established mutual funds can be found in“Newly Listed Assets” under the“Notes” section of the system. A“Mutual Fund Code Name Index” is also available for quick reference.
Backtesting: Historical VaRs and gains/losses are calculated based on a fixed portfolio.
Daily backtesting: Historical VaRs and gains/losses are calculated based on actual historical portfolios.
The purpose of backtesting portfolios is to validate the model.
Single VaR: The value-at-risk of a single investment target without consideration of the risk diversification effects present in the portfolio.
Incremental VaR: Additional value-at-risk attributable to the inclusion of a new investment target.
Component VaR: The value-at-risk of the entire portfolio attributable to a certain investment target while accounting for risk diversification effects.
We offer two options: reference stock and pre-IPO treatment. The system automatically screens for stocks and mutual funds with insufficient data points in the portfolio during calculation and automatically memorizes the settings for the next round of calculations to save your time. Subsequent modifications are still possible.
