We use Algorithmics RiskWatch where portfolios are analyzed by VaR over scenarios. Can I say that they are predictions reports? or descriptions reports?
$\begingroup$
$\endgroup$
3
-
$\begingroup$ Do you mean the report containing a list of pairs (portfolio name, single VaR number)? $\endgroup$ – ir7 Jul 22 '20 at 23:24
-
$\begingroup$ You might want to clarify what "VaR over scenarios" means. What is a list of (or maybe just examples) of "scenarios". $\endgroup$ – noob2 Jul 23 '20 at 5:41
-
$\begingroup$ There is nothing predictive about VaR $\endgroup$ – amdopt Jul 23 '20 at 19:20
Add a comment
|
$\begingroup$
$\endgroup$
They are neither predictive or descriptive, but proscriptive it is a pre-emptive warning of the worst case scenario, of which you are being given notice to take action to avoid. It is risk management.
