Perform Multiple VaR Analyses
The platform’s powerful VaR analysis tool suite provides a wide gamut of calculations, including:
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Parametric VaR |
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Variance/co-variance |
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Intra-day VaR |
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Monte Carlo VaR |
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Historical VaR |
Calculate Greeks to User-defined Points
Greek values—deltas, vegas, gammas, and thetas—are calculated using a modified Black-Scholes model for European options and a variety of sophisticated models for American options.
This implementation enables calculation of sensitivities according to user-defined points and shocks along the yield curve, and generation of a “best hedge” employing the user’s choice of hedging instruments.
An included pricing tool provides a means of analyzing historical implied volatilities for any equity in the world for which there are listed options.
Monte Carlo Using Historical Simulations
Historical Monte Carlo simulations offer insights into potential portfolio performance through examination of exposures to shifting prices based on the simulation of historical market data, such as the Stock Market Crash of 1987. The simulation tool incorporates simulated moves in stock prices, shifts in yield curves, volatility changes, exchange rates, interest rates, FX rate movements, and counterparty defaults.
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