Extreme VaR

The Extreme VaR functionality is now operational on the RaC website. The testing phase is completed, but ongoing calibration and fine-tuning will continue. Extreme VaR represents a complement to Regular VaR, but concentrates on the Extreme Tail regions. The default shown on the screen is at 99.7%.
It can easily be set up for any portfolio of interest and at a user-specified confidence level.

The following document summarizes the procedure to invoke it from your websites.

Let me know if you have any questions.

Naveen Andrews (58668).