VaR Engine

Value at Risk Engine : Can be provided as a customized solution or service.

  • Historical VaR
  • Monte Carlo based VaR (including accommodating user defined jumps)
  • Stress Testing: Periodic testing of portfolio performance under extreme market conditions.

The services stated above include:

  • Historical Data sourcing, cleansing and maintenance
  • Managing Data insufficiency
  • Periodic back-testing

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