Post Trade VaR

Supplement your Stress risk results by calculating Historical VaR on current inventory. Configure Historical and/or Monte Carlo VaR scenarios (confidence, tenor, historical lookback and correlation) and also calculate Expected Shortfall and Incremental VaR. Remove the “black box” limitations and add transparency by viewing VaR by account/product/maturity.

Key features

Historical and Monte Carlo VaR scenarios configured with ease

Be the architect of your VaR calculations. Configure and archive multiple VaR scenarios for daily use or store for use under specific market conditions. Control the VaR method, tenor, confidence level, number of scenarios, currency, historical look-back period and much more.

Transparency of VaR calculations by firm/account/product/contract

Take the VaR blinders off. Maximise your visibility into the source of your risk. Our VaR tool provides clarity into the accounts as well as the products and expiries contributing to your VaR totals. View VaR calculations in ascending/descending order for each day of your historical observations.

Extensive VaR reporting capabilities

Spread the word inside your organisation or to third parties. Use .pdf or .csv exports to deliver meaningful VaR information to Credit and Sales departments as well as to regulatory bodies instantly.

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Latest features

In a rapidly changing world, it can be hard to keep up with all the new features technology delivers. We simplify this by producing regular feature updates. Contact any of our business development or support team to find out more about how our platform helps you achieve Risk as Alpha.

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