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Risk Classification

Of Derivative Securities

On the basis of comprehensive data, all derivative securities of Deutsche Derivate Verband partner banks are regularly subject to five types of risk quantification (issuer creditworthiness, price, volatility, currency and interest), which is then combined into one absolute value known as Value at Risk (VaR).

During a holding period of ten days, the likelihood that the VaR, or calculated loss, will be exceeded is minimal. The calculation of this loss potential (confidence niveau of 99%) is based on price changes observed in the market.

The VaR can be between 0 and 10000, and is based on an assumed investment of 10,000 Euros. A VaR of 10000 would represent 100% of the invested capital, with a VaR of 1000 representing 10%.

Based on this value, every single security is classified into one of five risk classes.

  • 01 = VaR between 0.0 and 2.5% (Risk averse)
  • 02 = VaR between 2.5 and 7.5% (Moderately risk tolerant)
  • 03 = VaR between 7.5% and 12.5% (Risk tolerant)
  • 04 = VaR between 12.5% and 17.5% (Highly risk tolerant)
  • 05 = VaR between 17.5 and 100% (Speculative)

Liability for Information

Despite taking greatest care when collecting and presenting the information, the Deutsche Derivate Verband (German Derivatives Association) as well as third parties, from which the Deutsche Derivate Verband receives information, do not assume any liability for the correctness, completeness, topicality, exactness, or availability of the master data provided and displayed within the scope of this information offer, and the Value at Risk data displayed within the scope of the calculations of the Deutsche Derivate Verband.

The Deutsche Derivate Verband has not verified all information, on which the documents are based, itself.

The Deutsche Derivate Verband does not assume any liability for any loss caused by using this information or related to the use of this information. Using this information shall be at the sole risk of the user.

They do not constitute investment advice.

If this information is published or passed on in any other way, this disclaimer shall be included and the source Deutsche Derivate Verband e.V. shall be quoted.

Copyright © Deutscher Derivate Verband e.V.

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Coverage & Update

At the middle of March 2017, our WMACCESS data bank comprised more than 1.1 Million of active securities with a current Value at Risk valuation.
Among these were

  • more than 650,000 as warrants
  • more than 360,000 as certificates
  • more than 130,000 as annuities and annuity-like
  • more than 2,400 as bonds with certificate like structure of classified securities.

The update of the VaR as well as the classification into another risk class, if necessary, is carried out once a week (Wednesday).

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Query of Risk Classification

The presented data fields are available in the query profile "master data". This search mask can be recalled directly via the standard entry of the login page.

Data fields

  • GD712 risk classification Deutscher Derivate Verband e.V. (DDV)
  • GD713 Value at Risk (VaR) of the DDV
  • GD714 calculation date of the risk classes and the Value at Risk of the DDV
Risk classification and Value at Risk for ISIN DE000DZ6KAL8 calculated as of 23.12.2010

Risk classification (GD712), Value at Risk (GD713) and the relevant calculation date (GD714) for the DAX discount certificate of the DZ BANK AG (ISIN DE000DZ6KAL8)

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Extensive Data History

Besides the current Value at Risk, as well as the relevant risk classification and calculation date in accordance with GD714, also historical values can be viewed via the field history and thus the development of these parameters can be followed.

Field History Risk Classification (GD712)

According to the field history the certificate was classified into risk class 3 for investors with a risk disposition after issuance.

Field History Value at Risk (GD713)

These two screenshots show the process of the determined Value at Risk. The regarded certificate had a significantly higher loss potential at the beginning, which, however, continuously improved in the course of time.

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Monitoring Risk Classification / Value at Risk

Use our service offer for affordable monitoring. Thanks to the individual definition of monitoring events you will always be up to date about the derivative securities issued or administered by you with regards to development or changes.

Possible Events for Monitoring

  • exceeding a limit value set by you at the Value at Risk, e. g. an increase to more than 1000.00
  • deterioration of risk class

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