Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon

Mira3 — Wed, 21 Jan 2026 13:07:57 GMT

Hello,
In SAS ALM (Risk Engine 3.4), I am running a VaR calculation with multiple horizons (1-day, 10-day, and 21-day) defined in a single run.

Is it supported to apply a different portfolio scope per horizon-specifically:
10-day horizon calculated on a subset of the portfolio And 1-day and 21-day horizons calculated on the full portfolio
within the same VaR run?

If this is not supported, what is the recommended approach (e.g. multiple runs, portfolio flags, horizon-specific filtering)?

Thank you,
Mira

Re: Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon

XavierVdm — Tue, 10 Mar 2026 16:45:27 GMT

Hi,

I recommend the following approach: to calculate the VaR, at multiple horizons, and at different levels of granularity.
For instance, if one wants to calculate the VaR by currency and instrument type, the solution will provide a VaR :

For each horizon

For the total portfolio
For each sub-portfolio made of positions denominated in a different currency
For each sub-portfolio made of positions denominated in a different currency and corresponding to a separate instrument type

You should look to the SAS Risk Dimension/ HP Risk documentation for checking how to define cross classification variables for VaR simulations (CROSSCLASSVARS).
The VaR will be calculated for every level of portfolio granularity for each horizon, which is more than what you want but it is thus possible , in a single run, to obtain all the VaR measures you need.

topic Re: Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon in SAS Risk Management

Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon

Re: Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon