Risk Figure
SSPA's Risk Figure uses the Value at Risk (VaR) approach to estimate a structured product's market risk. To facilitate ranking, structured products are allocated to one of six risk categories, category 6 representing the highest risk for investment in a product and category 1 the lowest risk. The Risk Figure is calculated daily and made available to the general public.
The intervals of the six risk categories are reviewed weekly. Adjustments are made as needed. For further information regarding the SSPA Risk Figure and/or the interval adjustment please refer to the documents below.
| Risk Class / Risk Perception | VaR Interval | Comparable to |
|---|---|---|
| low | 0 - 1 | Money Market, Deposits |
| moderate | 1 - 3 | Bonds |
| medium | 3 - 6 | Mixed Portfolio Bonds / Shares |
| increased | 6 - 10 | Blue Chips |
| high | 10 - 24 | Small / Mid Caps, Emerging Markets |
| very high | 24 - 100 | Options, Futures |
| Date | Title | Download |
|---|---|---|
| 31.01.2013 | Information about the SSPA Risk Figure |
PDF
|
| 31.01.2013 | SSPA Risk Figure FAQ |
PDF
|
| 01.02.2010 | Interval adjustment of SSPA risk categories (basics) |
PDF
|
SSPA Risk Figure Finder
The Risk Figure (VaR) and Risk Rating for any structured product listed at the Scoach Switzerland derivatives exchange
can be found quickly and easily using the Risk Figure finder. To search for a specific product, enter the symbol, the
ISIN or the product's number. Alternatively a search can be performed by using drop down boxes to look for SSPA product
type, issuer, risk category or underlying (individual underlyings in the case of multi-assets).
Important
Please note that the Value At Risk (VaR) approach which serves as a basis for the SSPA risk figures
and ratings constitutes only one of several important criteria influencing the choice of a structured
product. It should not serve as the sole basis for a decision. The information at hand should not be
considered investment advice, nor does it constitute an offer or recommendation to buy or sell a product
or take the place of a person-to-person consultation. Rather than investing in a single product,
we recommend diversification. This prevents a single product in an investment portfolio from gaining
too much weight, and in cases of default having too great an effect on the portfolio’s overall value.
The Risk Figure is calculated and provided by Derivative Partners Research AG. Derivative Partners Research AG and the Swiss Structured Products Association are in no way responsible for the completeness or accuracy of the information.
The Risk Figure is calculated and provided by Derivative Partners Research AG. Derivative Partners Research AG and the Swiss Structured Products Association are in no way responsible for the completeness or accuracy of the information.