Time Series

Expected Risk

Expected Returns

Optimization

Simulation

Exposure to Loss

Risk Budgets

Factor Analysis

Cash Flow Analysis

Views (Risk and Correlation)

The WPA allows the user to input custom views for expected risk and correlations.

The users may enter up to five different sets of views in the grid. To select a set of expected risk and correlation (covariance) model for analysis, click on the column heading to highlight the column.

Expected Risk Views

The user will be able to initialize a custom view by copying from the historical full-sample estimates.

Context menu for interaction with Expected Risk Views

When specifying views for risk, it is also essential to carefully consider the specification of correlation coefficients. If a correlation matrix is not positive semi-definite, WPA can either correct to the nearest positive semi-definite matrix or re-initialize the respective view estimates to the historical correlation matrix.

Matrix positive semi-definite verification

Last modified 2yr ago

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