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.