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Value at Risk Report

The Value at Risk report shows the greatest loss that a portfolio will sustain over a one-day period, with either 95%, 99.5% or 99.5% confidence. VAR is calculated using three different methods, each with different assumptions about correlations of the underlying assets in the portfolio. This report is only available in the Equity tab and is calculated in real-time using the P&L plot data. To see VAR for you entire portfolio, use the VAR tab.

• Worst Case -Calculates the worst case price movement between the selected confidence interval for each underlying independently. Note that the VAR column in the Risk by Underlying report contains the same values.
• Perfect Correlation - Assumes each underlying in your portfolio moves perfectly correlated with the S&P 500, and calculates the worst case price movement between the confidence interval of SPX.
• Index Correlated Price Estimate - Assigns a correlation (Beta) to each underlying in your portfolio to the S&P 500 (used as a reference index), and then looks for the worst loss within its adjusted confidence level.

To view the VAR report

1.  Open the Risk Navigator.

1. From Mosaic - Use the New Window drop down and select Risk Navigator from the Advanced Trading Tools category.
2. From Classic TWS - Use the Analytical Tools menu and select Risk Navigator from the Portfolio category.

2.  From the Report field, select Value at Risk.

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