General Features:
- Calculates Value-at-Risk (VaR) for multi asset portfolios.
- Analyses Incremental VaR : the incremental effect of a single trade on the whole portfolio's VaR.
- Automatically maps multiple cash flows to vertices.
- Also supports Monte Carlo simulations on multiple assets using variance/covariance matrices.
- Useful for the analysis of complex multi asset dependent options and securities portfolios.
- Useful for compliance and regulatory risk management purposes.
- Compatible with JP Morgan's RiskMetrics datasets.
- Callable from Excel, Access, C, C++ and Visual Basic.
The cost of the Universal VaR Add-in is GBP 1,999.
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| [click] for screen shots of software |
For Further Information, Please Contact :
Dr. Mamdouh Barakat |
