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Trade Blotter Enhancements | Weekly Release 10/9/20


Enhanced the Historical VaR to allow users to change the lookback period from daily (default) to weekly or monthly

In addition to the daily VaR, Riskval also provides four other weekly and monthly VARs of different look back time periods, such as rolling weekly, end weekly, rolling monthly, end monthly. The details are described in the following table.

To change the lookback period, the dropdown is to the right of the Date Range



Added, in the summary table, the “Return on Net Capital” for bond positions

Return on Net Capital = Cum P&L USD / PV USD

Traders can add the “Return on Net Capital” from the “Table” – “Manage Columns” menu.


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