Risk Analysis

Value & Risk has developed state-of-the-art solutions for calculating VaR for highly structured and complex portfolios, such as derivatives or alternative investments. VaR can be calculated using either historical, Monte Carlo simulation or parametric approaches. The approach can be tailored to the needs of the financial institution and it's regulatory reporting requirements.

Value & Risk offers the calculation of sensitivities to the risk factors of an instrument or portfolio. These sensitivities, such as
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and many more can be calculated for any risk factor and used later in the client's risk calculation tools to drive simulations or other calculations.

Value & Risk calculates sets of what-if analysis or stress scenarios on portfolios or instruments as required by regulation or clients' internal risk reporting. The scenarios include historical, hypothetical and regulatory scenarios. Value & Risk can assist not only in the calculation of the scenario results but also in the creation of an appropriate set of scenarios.