Which workspace should I use for calculating different scenarios of VaR for my portfolio hierarchy?
How do I set all the parameters in order to calculate a stressed VaR with 99.5 percent confidence interval, over one year time horizon and the stress contribution from the financial crisis of 2007-2010?
Welcome Woj,
this is good question. In Quantlab there are no “ready made” workspaces for VaR. The idea with Quantlab is that you build your own workspaces internally using the extensive financial and mathematical libraries and pass to your colleagues.
However in the ARMS risk management platform from Algorithmica (the makers of Quantlab), there are such VaR resources. These are however commercial and require an installed server platform and valid license.
We have created a separate category “Quantlab in ARMS” for discussions regarding Qlang programming in the ARMS Quantlab platform.