Market Risk
Full and Flexible Parameter Settings:
- Dependence Structure modeling:
- Independent and Dependent Tails
- Fat-tail Copula
- Univariate Simulation Methods:
- Historical & Normal Monte Carlo
- Symmetric and Asymmetric Stable Monte Carlo
- Student T and Asymmetric Student T Monte Carlo
- ARMA-GARCH Scenarios
- Volatility and correlation settings:
- Classical and EWMA correlation estimation methods
- GARCH option
- Stress-tests, Black-Litterman views or Bayes-Stein models options
- Mean Return Estimation Methods:
- Classical or EWMA mean return estimation, or user-defined mean return options
- ARMA
Extensive Risk Reporting:
- Complete statistical output:
- VaR & ETL
- Incremental VaR & ETL
- Present Value
- Exposure
- Market Value
- Variance
- Standard Deviation
- Marginal Contribution to Risk (standard deviation and ETL)
- Percentage Contribution to Risk (standard deviation and ETL)
- Beta To Portfolio
- Beta To Benchmark
- Implied Return (standard deviation and ETL)
- Mean Return
- Display and charting across multiple confidence intervals
- Percentage Loss, Threshold, Absolute Loss, Percentage Loss of Exposure, Percent of Total Portfolio, display options
- VaR, ETL, PV/VaR and histogram charts on portfolio, grouping and single asset level
- Risk evolution charts, simulated portfolio returns vs. simulated group level/single asset returns plots
- Complete risk budgeting reports and charts
- Interactive table of simulated price scenarios leading to different VaR levels on portfolio, group and single asset level
