Expect the unexpected and anticipate your loss exposure. Create instrument groups and/or product groups to combine similar products into manageable combinations of inventory. Use product weightings to simulate real world market behaviour across products.
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.
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