Custom Quantiles Tails - Shortfall Probability Reports

Custom Quantiles are an extension to the standardized Quantiles. This report is a custom report and requires human intervention in order to define the size of each tail we want to analyze

Custom Quantiles are defined in the Market and Credit Tab of the Analysis Setup screen.

• Click on The Tail Quantiles Checkbox
• When Active Both Lower and Upper Tails will appear on the Right Hand side.
• The Lower tail (losses) is the Value on the left, The Upper tail is on the right hand side.
• Define the percentage value you want to retain from the distribution.
  i.e. a value of 0.01 means you will capture 1% percent of the distribution.
  If you are simulating 20 000 values this means you will capture the 200 worst /best returns.