Value-at-Risk (VaR) has become a popular and necessary method to evaluate portfolio risk. Orion offers the dynamic function of VaR with its Strategist software suite. A VaR setup screen assists in the definition of the report that is to be generated. The definable parameters consist of price movement, percentage movement, or standard deviation based on the option implied volatility of the market. In addition, an implied volatility movement factor can also be added for greater risk analysis.

Accounts can have instruments with different currency bases. The VaR simulation will display the Exceeded value of the report in the selected currency. The symbols will report equity values in their base currency.

At the top right of the VaR report an Exceeded value is displayed in the report represented in the selected currency. The exceeded value is derived from the worst-case scenario in the simulation and is then added to the account balances without the open position equity.

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