Risk Engine 3.4 – VaR with Different Portfolio Scope per Horizon

[Mira3]

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

[XavierVdm]

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.