EQUITY PORTFOLIO VALUE-AT-RISK CALCULATION PROCEDURE

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1. Log into your account or if you are a new user, register your account and enable two factor authentication.
2. Click on the [Equity portfolio value-at-risk] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

1. Select to enter pairwise-flat or pairwise-varying correlations between underlying share price variables.
2. Select the number of underlying share price variables in the portfolio.
3. Select to enter dividend re-investment plan or use the default dividend re-investment plan.
4. Click the submit button, and this will take you to the array populating page.

Array populating page

1. Identifier indices used in this section start identification counting from 0, to make them consistent with programming of array indices.
2. Enter name of indicated underlying share price variable.
3. Enter number of discrete dividends before share price projection time (enter zero if none) of indicated underlying share variable. Discrete dividend is, such that, if the underlying share price value just before dividend payment is S, and the value of discrete dividend is D, then the value of the share price just after discrete dividend payment is S-D.
4. Enter the number of known dividend yields before share price projection time (enter zero if none) of indicated underlying share variable. Known dividend is, such that, if the underlying share price value just before dividend payment is S, and the value of known dividend yield is q, then the value of the share price just after dividend payment is S*(1-q).
5. Enter pairwise correlations between indicated underlying share price variables.
6. Click the submit button, and this will take you to the Equity portfolio value-at-risk calculation parameters page.

Equity portfolio value-at-risk calculation parameters page

1. Select the currency of valuation from the drop-down list.
2. Enter the equity portfolio name.
3. Enter the projection period for value at risk calculation in days.
4. Enter the continuously compounded zero-rate for one-day share price projection period.
5. Enter the continuously compounded expected return on market portfolio.
6. Enter the confidence-level for value at risk calculation as a percentage.
7. Enter the initial prices of indicated share price variables.
8. Enter the continously compounded dividend yields of indicated share price variables. The continously compounded dividend yields together with discrete dividends, and known dividend yields, enable any dividend payment patterns to be accomodated in the pricing model.
9. Enter the market betas of indicated share price variables.
10. Enter the annualised volatilities of indicated share price variables.
11. Enter the number of shares in the portfolio for indicated share price variables.
12. Enter discrete dividend values and their timing, and zero rates of dividend timing periods for indicated underlying share price variables.
13. Enter known dividend yield values and their timing for indicated underlying share price variables.
14. Click the submit button and this will take you to the output display page.

Output display page

1. You can view pricing model output together with input parameters you entered.
2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.