2.6 Aggregation

After the valuation of all instruments in each scenario, one has to aggregate all parameters of instruments contained in a fund. Therefore all fund position values are derived by multiplying the position size with the instrument value in each scenario. The resulting sorted fund profit and loss distribution is then used to calculate the value-at-risk at fund level.
If less than 50001 MC scenarios are used in OCTARISK, it is recommended to smooth the VAR by a Harrell-Davis estimator (See harrell_davis_weight for details). A weighted average of the scenarios around the confidence interval scenarios is calculated. The HD VAR shall reduce the Monte-Carlo error. Aggregation keys (e.g. currency, ID, asset class) can be freely specified to get a full portfolio risk drill down.