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sas_j
Calcite | Level 5

Hello,

 

I'm not quite sure if this is the place to ask about the RiksDimension questions, if you know, please don't hesitate to point it out, thanks!

 

I have RiskDimension question regarding the 'interval' option in MARKETDATA. The legitimate keywords used for this interval could be: YEAR, SEMIYEAR, QTR, MONTH, SEMIMONTH, TENDAY,WEEK, WEEKDAY, and DAY.

 

And the 'interval' should be set the same as that in SIMULATION definition, but only the interval, there is no horizon in the MARKETDATA specification like in SIMULATION. So my question is that is there a way to set the interval to an uncommon time interval, like 3-week.

 

Here are more details:

 

  1. Originally we have weekly time series of risk factor data and we want to have the flexibility to scale it to any time interval simulation. When we create the VCV from weekly data, we use our in-house model to normalize the time series, also we scale the 'STD' row in the VCV to the time interval we want, say 3-week. So after RD (RiskDimension) simulated the states by this VCV, the states are already scaled to the time interval we want. We know RD has the ability to scale the simulation results when there is mismatch btw VCV interval and simulation interval and horizon. But we want to scale the interval according to our model.

 

  1. After the simulated scaled STATES are generated from VCV, we want to define these states as a MARKETDATA for a new RD project, thus we need to specify the interval to be 3-week, which currently is not allowed in RD ( because there is no horizon specification in MARKETDATA).

 

Any suggestions?

 

Thanks

John

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