We specialize in providing Value-at-Risk calculation using the non-parametric method. We focus on this more robust hstorical method to overcome the severe inaccuracies of normality assumption and dependence on co-variances. The user may use readily available market data (independent of data provider) and can analyze the result more intelligently (with the help of the raw market prices).

The specific methods used are the historical simulation and the Generalized Pareto Distribution.
To use the above method it is necessary to value a portfolio hundreds of times. This is achieved by vector calculations and systems capable of fast calculation and consolidation of market values of different types of instruments. These include:

  • Interest rate portfolio
  • Equities
  • OTC Currency options