The Parametric Risk Attribution worker calculates the magnitude of a security's reaction to changes in underlying factors, most often in terms of its price response to other factors.
The Parametric Risk Attribution worker must receive specific parameters in order to execute properly. When parameters are not set correctly it may cause the worker to not work as expected. This worker parameters is separated in the following tabs: Input and Advanced.
The Input tab contains parameters which are consumed by the worker, in order to execute it's calculations or actions.
Set the research workspace of the portfolio to be calculated using Fixed Workspace variant
Select the filter to be applied in the calculation using Select variant.
Select the aggregation to be applied in the calculation using Select variant.
1.5 Time Period
Select the time period to be applied in the calculation using Select variant.
Select the format in which the calculation will be performed using Select variant.
The Advanced tab contains parameters that defines the worker execution results, and how it will be provided to downstream workers.
2.1 Fixed Income Mapping
Select whether the worker will map fixed income through Duration or Cashflows using Boolean variant.
2.4 Volatility Half-Life
Set the Volatility Half-Life using Select variant.
2.5 Correlation Half-Life
Set the Correlation Half-Life using Select variant.
Set the Confidence using Select variant.
Once the worker finishes it's executions succesfully, it will return a result object containing the merged portfolio to the workflow, which can be used by downstream workers. Below you can see an example of the Parametric Risk Attribution's result object hierarchy.
- Portfolio Level (object)
- Volatility (number)
- VaR (number)
- CVaR (number)
- Aggregation Level (object)
- Aggregation ID (string)
- Contribution to Volatility (number)
- Contribution to VaR (number)
- Contribution to CVaR (number)