For Bucket Risk, added an option to bump the curve, up 1bp rather than down 1bp as per default, in addition, there is the down-up average
Added option to bump up the curve 1bps when calculating DV01 and Bucket Risk. RiskVal’s default is to bump the curve down 1bps.
From "Preferences" - "Global Preferences", traders can click on "Show Advanced Settings" and type in “Risk".
RiskVal added new flag; "Rate Risk Calculation Method” so traders can select "Down", "Up" or "DownUpAv". Once they make their selections, traders can hit "Apply" to see the DV01 and Bucket Risk’s signs update.
Note: The option to adjust the risk directionality is under the “Preferences” menu as well.
[BRL] When using EM Risk, RiskVal adjusts to On/Shore FX spread risk in term of rate spread bump
RiskVal enhanced On/Off Shore FX spread risk to incorporate rate spread risk.
Traders can access EM Risk table from "Calculation" drop-down menu.