IB Risk NavigatorSM Value at Risk Report

The Value at Risk report shows the greatest loss that a portfolio will sustain over a one-day period, with 99.5% confidence. VAR is calculated using three different methods, each with different assumptions about correlations of the underlying assets in the portfolio.

• Worst Case - Displays the sum of the greatest loss of each underlying in your portfolio assuming each product moves independently to the worst loss within a 3 standard deviation range of each underlying.

• Perfect Correlation - Assumes each product is perfectly correlated to a reference index. It then looks for the worst loss within a 4.5 standard deviation range of the reference index.

• Index Correlated Price Estimate - Assigns a correlation (Beta) to each underlying in your portfolio to a reference index, and then looks for the worst loss within a 4.5 standard deviation range of that index.

To view the VAR report

1. On the Analytics menu, select IB Risk NavigatorSM.

2. In the Report Selector, select Value at Risk from the Report dropdown.

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