Riskdata models the risk of hybrid portfolios containing the following asset classes and instruments:
Vanilla or Exotic derivatives
Monte Carlo: the HuLK VaR
Riskdata has developed the HuLK VaR: a time-varying volatility based on Monte Carlo methodology that avoids over or under estimating risk across market crises. HuLK VaR is the most precise VaR as shown by multiple backtests.
Two VaR for the price of one if Monte Carlo VaR is not just enough for you.
You would rather have them as risk indicators than as assets in your portfolio (delta, gamma, theta, vega, Interest Rate sensitivity or convexity, Credit Rate sensitivity or convexity…).
In a normal environment or in a liquidity stressed environment, Riskdata measures the percentage of the portfolio that can be liquidated at various horizons under selling speed constraint or under cost constraint.
The others provide you with ex-post volatility/tracking error. So do we. But we also calculate ex-ante volatility/tracking error with full transparency of the benchmark.
You can choose among a comprehensive library of predefined historical stress tests or you may create your own correlated or non-correlated custom stress tests.
With Basel III, a proper VaR calculation becomes essential. So to make sure you fulfill all the requirements, Riskdata allows you to backtest your VaR.
Send us your VaR
For those of you not fortunate enough to be using Riskdata, we even offer – free of charge – to check your own VaR calculation with our backtest module.
Riskdata provides risk managers, quantitative analysts and portfolio managers with accurate real-time calculation of any risk analytics.
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