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VaR, Volatility

Former Member
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We are trying to configure commodity options for VaR. When I run transaction RMV0, I am getting error message no. ry481 ((Volatility not found for volatility type NNN and underlying XXXXXX on xx/xx/2010. By the way , we are in ECC 6.0 in TRM - Enhancement 4.

Can anybody have any idea where I should look?

Thanks in advance.

Accepted Solutions (0)

Answers (3)

Answers (3)

Former Member
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Mr. Manish, are these volatilities taken from outside source - like that of exchange rates and interest rates?

Thank you.

Former Member
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Hi,

Generally the volatilities are also provided from outside souce, but if you are going to use historical volatality approcah, then you can also allow the system to calculate the volatilty.

Regards,

Ravi

Former Member
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Hi Helen,

To update from Telerate data: TR > Basic Function > Market Data Mgt > Manual Mkt Data Entry > Statistical Data > Volatilities

To use Stat Calculator which your Results Database use base from other market data previously uploaded to build the Volatility: TVS1

Good Luck!

-William Docot

Former Member
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Hi,

Config paths:

Treasury and Risk Management

Basic Functions

Market Data Management

Manual Market Data Entry

Statistical Data

Enter Volatilities for Commodity Prices

and

Treasury and Risk Management

Basic Functions

Market Data Management

Master Data

Statistical Data

Volatilities with Moneyness

Volatilities - Assign Underlying Instrument

Assign Commodity ID

--

Manish

Former Member
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Hi,

Please define volatility type in the system and assign the same to Evaluation Type you are using to generate VaR.

Also, data should be filled for the defined volatility types under market data managment.

Regards

Prasad AV