Please note that the Value at Risk is based on a holding period of 10 days and investment capital of EUR 10,000. Example: a VaR of 250 tells you that for a holding period of 10 days there is a probability of 99 percent that the loss will not be greater than EUR 250 (out of EUR 10,000). If your search does not bring up any value, we do not have the necessary information on the product you searched for. The information provided here does not constitute investment advice and should not be seen as either an offer or a recommendation to buy or sell a specific financial instrument. Deutscher Derivate Verband is meticulous in its sourcing and presentation of this data, but it cannot assume liability for its correctness or completeness. Before making any investment decision, (potential) investors should consult a financial, legal and tax adviser for detailed advice. A loss may be greater than the VaR suggests.
Five risk components are used to calculate value at risk.
|
Risk component
|
Description
|
|
Credit risk
|
Change in the risk premium for debt instruments
|
|
Price risk
|
Change in the price of the underlying
|
|
Volatility risk
|
Change in the implied volatility of this underlying
|
|
Currency risk
|
Change in the exchange rate for currency components
|
|
Interest rate risk
|
Change in the market interest rate
|
Because there is a certain degree of interdependence between individual risks (correlation), the sum of the individual risks is greater than the overall risk calculated. This is known as the diversification effect. This means, for instance, that sharply falling prices (price risk) usually result in an increase in volatility (volatility risk). This and similar dependencies are taken into consideration in the calculation by allowing for a residual value. In addition to value at risk and the partial risks, the time value effect is also shown. This describes the change in the price attributable solely to the shorter residual period.
Each product is allocated to a risk class according to its VaR. These are 99 percent VaR figures with a holding period of 10 days.
|
Risk class
|
Absolut VaR*
|
VaR (as a percentage)*
|
Investor profile
|
|
1
|
0 < VaR <= 250
|
0 < VaR <= 2.5
|
Conservative
|
|
2
|
250< VaR <= 750
|
2.5 < VaR <= 7.5
|
Moderately conservative
|
|
3
|
750< VaR <= 1250
|
7.5 < VaR <= 12.5
|
Moderate
|
|
4
|
1250< VaR <= 1750
|
12.5 < VaR <= 17.5
|
Moderately aggressive
|
|
5
|
1750< VaR <= 10000
|
17.5 < VaR <= 100
|
Aggressive
|
*measured as proportion of the investment – in this case, VaR calculated on an investment of EUR 10,000 = 100%
Comparable investments
Risk class 1: short-term debt instruments (1-5 years)
Risk class 2: long-term debt instruments (>5 years)
Risk class 3: broad equity market indices
Risk class 4: more volatile equity market indices, major blue-chip equities
Risk class 5: more volatile blue-chips, mid-caps and small-caps