Node Default SPAN risk

com.powerpilot.0.5000
Instance of RiskModelSpan

Node data Value

com.powerpilot.RiskModelSpan.riskIntervalCorrectionFactors SYSTO:0.25;SYHEL:0.3;SYOSL:0.2;SYARH:0.65;SYCPH:0.65

com.powerpilot.RiskModelSpan.riskIntervalMultiplier 6,7

com.powerpilot.RiskModelSpan.timeHorizonDays 1

com.powerpilot.RiskModelSpan.cappingLimitUpper 0,3

com.powerpilot.RiskModelSpan.currencyExchangeLoss 2,5

com.powerpilot.RiskModelSpan.rate 2,25

com.powerpilot.RiskModelSpan.cappingLimitLower 0,04

com.powerpilot.RiskModelSpan.priceScenarioWindows 0.95:0;0.89:1;0.72:2;0.5:3;0.4:4;0.3:5;-1:1000

org.unizone.finance.portfolio.RiskModel.version 1

com.powerpilot.RiskModelSpan.scenarios pMult:-3;cov:0.3;vMult:1,cMult:-0.025/0.025 pMult:-1/-0.66666666/-0.33333333/0/0.33333333/0.66666666/1;vMult:0.75/1.30,cMult:-0.025/0.025 pMult:3;cov:0.3;vMult:1,cMult:-0.025/0.025

com.powerpilot.RiskModelSpan.correlMatrix 1, 1, 8, 15, 22, 29, 36, 43, 50, 57, 85, 113, 141, 169, 197, 225, 337, 393, 540, 603, 729, 1095, 1500; 1, 1, 0.298, 0.136, 0.177, 0.224, 0.155, 0.062, 0.189, -0.008, 0.209, 0.313, 0.208, 0.198, 0.154, 0.133, 0.102, 0.088, 0.012, 0.002, 0, -0.043, -0.043; 8, 0.298, 1, 0.959, 0.948, 0.927, 0.912, 0.886, 0.879, 0.828, 0.798, 0.829, 0.791, 0.669, 0.654, 0.588, 0.632, 0.665, 0.514, 0.483, 0.299, 0.259, 0.259; 15, 0.136, 0.959, 1, 0.98, 0.963, 0.94, 0.918, 0.918, 0.875, 0.813, 0.865, 0.858, 0.69, 0.662, 0.633, 0.645, 0.699, 0.496, 0.468, 0.326, 0.278, 0.278; 22, 0.177, 0.948, 0.98, 1, 0.969, 0.963, 0.925, 0.922, 0.873, 0.818, 0.852, 0.86, 0.692, 0.654, 0.664, 0.655, 0.678, 0.493, 0.453, 0.296, 0.267, 0.267; 29, 0.224, 0.927, 0.963, 0.969, 1, 0.971, 0.93, 0.932, 0.889, 0.839, 0.785, 0.83, 0.698, 0.643, 0.66, 0.678, 0.673, 0.504, 0.489, 0.344, 0.276, 0.276; 36, 0.155, 0.912, 0.94, 0.963, 0.971, 1, 0.943, 0.939, 0.879, 0.873, 0.836, 0.831, 0.653, 0.609, 0.672, 0.67, 0.646, 0.486, 0.474, 0.341, 0.228, 0.228; 43, 0.062, 0.886, 0.918, 0.925, 0.93, 0.943, 1, 0.979, 0.939, 0.913, 0.857, 0.83, 0.643, 0.653, 0.673, 0.751, 0.687, 0.532, 0.573, 0.338, 0.329, 0.329; 50, 0.189, 0.879, 0.918, 0.922, 0.932, 0.939, 0.979, 1, 0.979, 0.92, 0.894, 0.829, 0.64, 0.667, 0.703, 0.759, 0.706, 0.552, 0.541, 0.359, 0.352, 0.352; 57, -0.008, 0.828, 0.875, 0.873, 0.889, 0.879, 0.939, 0.979, 1, 0.925, 0.887, 0.807, 0.63, 0.671, 0.678, 0.748, 0.712, 0.534, 0.554, 0.386, 0.355, 0.355; 85, 0.209, 0.798, 0.813, 0.818, 0.839, 0.873, 0.913, 0.92, 0.925, 1, 0.918, 0.851, 0.671, 0.67, 0.751, 0.739, 0.723, 0.516, 0.536, 0.399, 0.345, 0.345; 113, 0.313, 0.829, 0.865, 0.852, 0.785, 0.836, 0.857, 0.894, 0.887, 0.918, 1, 0.9, 0.695, 0.682, 0.76, 0.764, 0.721, 0.519, 0.539, 0.384, 0.329, 0.329; 141, 0.208, 0.791, 0.858, 0.86, 0.83, 0.831, 0.83, 0.829, 0.807, 0.851, 0.9, 1, 0.731, 0.676, 0.759, 0.768, 0.673, 0.529, 0.527, 0.418, 0.341, 0.341; 169, 0.198, 0.669, 0.69, 0.692, 0.698, 0.653, 0.643, 0.64, 0.63, 0.671, 0.695, 0.731, 1, 0.652, 0.808, 0.671, 0.64, 0.415, 0.41, 0.422, 0.277, 0.277; 197, 0.154, 0.654, 0.662, 0.654, 0.643, 0.609, 0.653, 0.667, 0.671, 0.67, 0.682, 0.676, 0.652, 1, 0.728, 0.687, 0.638, 0.586, 0.528, 0.238, 0.307, 0.307; 225, 0.133, 0.588, 0.633, 0.664, 0.66, 0.672, 0.673, 0.703, 0.678, 0.751, 0.76, 0.759, 0.808, 0.728, 1, 0.678, 0.647, 0.409, 0.412, 0.391, 0.282, 0.282; 337, 0.102, 0.632, 0.645, 0.655, 0.678, 0.67, 0.751, 0.759, 0.748, 0.739, 0.764, 0.768, 0.671, 0.687, 0.678, 1, 0.81, 0.646, 0.685, 0.439, 0.436, 0.436; 393, 0.088, 0.665, 0.699, 0.678, 0.673, 0.646, 0.687, 0.706, 0.712, 0.723, 0.721, 0.673, 0.64, 0.638, 0.647, 0.81, 1, 0.636, 0.63, 0.497, 0.453, 0.453; 540, 0.012, 0.514, 0.496, 0.493, 0.504, 0.486, 0.532, 0.552, 0.534, 0.516, 0.519, 0.529, 0.415, 0.586, 0.409, 0.646, 0.636, 1, 0.872, 0.352, 0.408, 0.408; 603, 0.002, 0.483, 0.468, 0.453, 0.489, 0.474, 0.573, 0.541, 0.554, 0.536, 0.539, 0.527, 0.41, 0.528, 0.412, 0.685, 0.63, 0.872, 1, 0.388, 0.394, 0.394; 729, 0, 0.299, 0.326, 0.296, 0.344, 0.341, 0.338, 0.359, 0.386, 0.399, 0.384, 0.418, 0.422, 0.238, 0.391, 0.439, 0.497, 0.352, 0.388, 1, 0.31, 0.31; 1095, -0.043, 0.259, 0.278, 0.267, 0.276, 0.228, 0.329, 0.352, 0.355, 0.345, 0.329, 0.341, 0.277, 0.307, 0.282, 0.436, 0.453, 0.408, 0.394, 0.31, 1, 1; 1500, -0.043, 0.259, 0.278, 0.267, 0.276, 0.228, 0.329, 0.352, 0.355, 0.345, 0.329, 0.341, 0.277, 0.307, 0.282, 0.436, 0.453, 0.408, 0.394, 0.31, 1, 1

com.powerpilot.RiskModelSpan.useCapping Y

com.powerpilot.RiskModelSpan.timespreadByDelta N

org.unizone.finance.portfolio.RiskModel.name Default SPAN risk

com.powerpilot.RiskModelSpan.optionHorizonDiff -1

com.powerpilot.RiskModelSpan.dayVolatilities 0, 0.016263; 1, 0.016263; 8, 0.016243; 15, 0.0159927; 22, 0.0159403; 29, 0.0160572; 36, 0.0166014; 43, 0.0167587; 50, 0.0169164; 57, 0.0170058; 85, 0.0170228; 113, 0.0173517; 141, 0.0178983; 169, 0.0183113; 197, 0.0190556; 225, 0.0173115; 337, 0.0163217; 393, 0.0148664; 540, 0.0136746; 603, 0.0130943; 729, 0.0124835; 1095, 0.0097895; 1500, 0.0097895;

Node data	Value
com.powerpilot.RiskModelSpan.riskIntervalCorrectionFactors	SYSTO:0.25;SYHEL:0.3;SYOSL:0.2;SYARH:0.65;SYCPH:0.65
com.powerpilot.RiskModelSpan.riskIntervalMultiplier	6,7
com.powerpilot.RiskModelSpan.timeHorizonDays	1
com.powerpilot.RiskModelSpan.cappingLimitUpper	0,3
com.powerpilot.RiskModelSpan.currencyExchangeLoss	2,5
com.powerpilot.RiskModelSpan.rate	2,25
com.powerpilot.RiskModelSpan.cappingLimitLower	0,04
com.powerpilot.RiskModelSpan.priceScenarioWindows	0.95:0;0.89:1;0.72:2;0.5:3;0.4:4;0.3:5;-1:1000
org.unizone.finance.portfolio.RiskModel.version	1
com.powerpilot.RiskModelSpan.scenarios	pMult:-3;cov:0.3;vMult:1,cMult:-0.025/0.025 pMult:-1/-0.66666666/-0.33333333/0/0.33333333/0.66666666/1;vMult:0.75/1.30,cMult:-0.025/0.025 pMult:3;cov:0.3;vMult:1,cMult:-0.025/0.025
com.powerpilot.RiskModelSpan.correlMatrix	1, 1, 8, 15, 22, 29, 36, 43, 50, 57, 85, 113, 141, 169, 197, 225, 337, 393, 540, 603, 729, 1095, 1500; 1, 1, 0.298, 0.136, 0.177, 0.224, 0.155, 0.062, 0.189, -0.008, 0.209, 0.313, 0.208, 0.198, 0.154, 0.133, 0.102, 0.088, 0.012, 0.002, 0, -0.043, -0.043; 8, 0.298, 1, 0.959, 0.948, 0.927, 0.912, 0.886, 0.879, 0.828, 0.798, 0.829, 0.791, 0.669, 0.654, 0.588, 0.632, 0.665, 0.514, 0.483, 0.299, 0.259, 0.259; 15, 0.136, 0.959, 1, 0.98, 0.963, 0.94, 0.918, 0.918, 0.875, 0.813, 0.865, 0.858, 0.69, 0.662, 0.633, 0.645, 0.699, 0.496, 0.468, 0.326, 0.278, 0.278; 22, 0.177, 0.948, 0.98, 1, 0.969, 0.963, 0.925, 0.922, 0.873, 0.818, 0.852, 0.86, 0.692, 0.654, 0.664, 0.655, 0.678, 0.493, 0.453, 0.296, 0.267, 0.267; 29, 0.224, 0.927, 0.963, 0.969, 1, 0.971, 0.93, 0.932, 0.889, 0.839, 0.785, 0.83, 0.698, 0.643, 0.66, 0.678, 0.673, 0.504, 0.489, 0.344, 0.276, 0.276; 36, 0.155, 0.912, 0.94, 0.963, 0.971, 1, 0.943, 0.939, 0.879, 0.873, 0.836, 0.831, 0.653, 0.609, 0.672, 0.67, 0.646, 0.486, 0.474, 0.341, 0.228, 0.228; 43, 0.062, 0.886, 0.918, 0.925, 0.93, 0.943, 1, 0.979, 0.939, 0.913, 0.857, 0.83, 0.643, 0.653, 0.673, 0.751, 0.687, 0.532, 0.573, 0.338, 0.329, 0.329; 50, 0.189, 0.879, 0.918, 0.922, 0.932, 0.939, 0.979, 1, 0.979, 0.92, 0.894, 0.829, 0.64, 0.667, 0.703, 0.759, 0.706, 0.552, 0.541, 0.359, 0.352, 0.352; 57, -0.008, 0.828, 0.875, 0.873, 0.889, 0.879, 0.939, 0.979, 1, 0.925, 0.887, 0.807, 0.63, 0.671, 0.678, 0.748, 0.712, 0.534, 0.554, 0.386, 0.355, 0.355; 85, 0.209, 0.798, 0.813, 0.818, 0.839, 0.873, 0.913, 0.92, 0.925, 1, 0.918, 0.851, 0.671, 0.67, 0.751, 0.739, 0.723, 0.516, 0.536, 0.399, 0.345, 0.345; 113, 0.313, 0.829, 0.865, 0.852, 0.785, 0.836, 0.857, 0.894, 0.887, 0.918, 1, 0.9, 0.695, 0.682, 0.76, 0.764, 0.721, 0.519, 0.539, 0.384, 0.329, 0.329; 141, 0.208, 0.791, 0.858, 0.86, 0.83, 0.831, 0.83, 0.829, 0.807, 0.851, 0.9, 1, 0.731, 0.676, 0.759, 0.768, 0.673, 0.529, 0.527, 0.418, 0.341, 0.341; 169, 0.198, 0.669, 0.69, 0.692, 0.698, 0.653, 0.643, 0.64, 0.63, 0.671, 0.695, 0.731, 1, 0.652, 0.808, 0.671, 0.64, 0.415, 0.41, 0.422, 0.277, 0.277; 197, 0.154, 0.654, 0.662, 0.654, 0.643, 0.609, 0.653, 0.667, 0.671, 0.67, 0.682, 0.676, 0.652, 1, 0.728, 0.687, 0.638, 0.586, 0.528, 0.238, 0.307, 0.307; 225, 0.133, 0.588, 0.633, 0.664, 0.66, 0.672, 0.673, 0.703, 0.678, 0.751, 0.76, 0.759, 0.808, 0.728, 1, 0.678, 0.647, 0.409, 0.412, 0.391, 0.282, 0.282; 337, 0.102, 0.632, 0.645, 0.655, 0.678, 0.67, 0.751, 0.759, 0.748, 0.739, 0.764, 0.768, 0.671, 0.687, 0.678, 1, 0.81, 0.646, 0.685, 0.439, 0.436, 0.436; 393, 0.088, 0.665, 0.699, 0.678, 0.673, 0.646, 0.687, 0.706, 0.712, 0.723, 0.721, 0.673, 0.64, 0.638, 0.647, 0.81, 1, 0.636, 0.63, 0.497, 0.453, 0.453; 540, 0.012, 0.514, 0.496, 0.493, 0.504, 0.486, 0.532, 0.552, 0.534, 0.516, 0.519, 0.529, 0.415, 0.586, 0.409, 0.646, 0.636, 1, 0.872, 0.352, 0.408, 0.408; 603, 0.002, 0.483, 0.468, 0.453, 0.489, 0.474, 0.573, 0.541, 0.554, 0.536, 0.539, 0.527, 0.41, 0.528, 0.412, 0.685, 0.63, 0.872, 1, 0.388, 0.394, 0.394; 729, 0, 0.299, 0.326, 0.296, 0.344, 0.341, 0.338, 0.359, 0.386, 0.399, 0.384, 0.418, 0.422, 0.238, 0.391, 0.439, 0.497, 0.352, 0.388, 1, 0.31, 0.31; 1095, -0.043, 0.259, 0.278, 0.267, 0.276, 0.228, 0.329, 0.352, 0.355, 0.345, 0.329, 0.341, 0.277, 0.307, 0.282, 0.436, 0.453, 0.408, 0.394, 0.31, 1, 1; 1500, -0.043, 0.259, 0.278, 0.267, 0.276, 0.228, 0.329, 0.352, 0.355, 0.345, 0.329, 0.341, 0.277, 0.307, 0.282, 0.436, 0.453, 0.408, 0.394, 0.31, 1, 1
com.powerpilot.RiskModelSpan.useCapping	Y
com.powerpilot.RiskModelSpan.timespreadByDelta	N
org.unizone.finance.portfolio.RiskModel.name	Default SPAN risk
com.powerpilot.RiskModelSpan.optionHorizonDiff	-1
com.powerpilot.RiskModelSpan.dayVolatilities	0, 0.016263; 1, 0.016263; 8, 0.016243; 15, 0.0159927; 22, 0.0159403; 29, 0.0160572; 36, 0.0166014; 43, 0.0167587; 50, 0.0169164; 57, 0.0170058; 85, 0.0170228; 113, 0.0173517; 141, 0.0178983; 169, 0.0183113; 197, 0.0190556; 225, 0.0173115; 337, 0.0163217; 393, 0.0148664; 540, 0.0136746; 603, 0.0130943; 729, 0.0124835; 1095, 0.0097895; 1500, 0.0097895;