This template calculates the portfolio expected profit and loss (PL) in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SPX, Oil and British Pound scenarios.
For each scenario, the contribution to portfolio’s expected PL, CVaR-, CVaR+ from user-defined aggregation labels are also computed (hedge transactions have to be marked as such using labels at portfolio import).
