Hello,
I have a problem with a lot of errors and warnings during VaR calculation (RAEP2). My key figure VAR31D99 is a key figure category RAK1 with holding period = 31 and assigned statistical data types – both with sample size 262.
Estimation of volatilities and correlations runs for chosen risk hierarchy without any problem (except for some missing prices what is acceptable).
However after calculation of VAR31D99 through RAEP2 transaction there are more than 50 thousands errors and more than 15 thousand warnings - at most they are about missing corellations. But these missing correlations are between one share which is assigned in risk hierarchy and the other one which is not.
So my question is if it is necessary to assign all securities from my portfolio to risk hierarchy and if it is not, what could be a problem? Could it be something about historical versions of risk hierarchy?
Thank you a lot for any help and advice.
Best regards,
Maria Sandorova