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MBRM
MBRM - MB Risk Management
Warnford Court
Throgmorton Street
London EC2N 2AT
United Kingdom
Email:

Phone: +44 20-7628 2007
Fax: +44 20-7628 2008

UNIVVAR calculates a portfolio's exposure to market risk and expresses the exposure in terms of Value-at-Risk (VaR). It also calculates "Incremental VaR" (the incremental effect of a single trade on the whole portfolio's VaR). Cash flows are automatically mapped to multiple vertices. Automatic calculation and comparison of Analytical, Monte Carlo, stress and historical VaR enhances risk management. Whilst the add-in calculates the historical variances and correlations between assets, UNIVVAR also supports historical Garch simulation without variance/correlation matrices, which considerably improves robustness and accuracy.

General Features:

  • Calculates Value-at-Risk (VaR) for multi asset portfolios.
  • Analyses Incremental VaR : the incremental effect of a single trade on total VaR.
  • Ability to enter stress testing scenarios and historical (back testing) scenarios.
  • Automatic calculation and comparison of :
    • Analytical VaR
    • Monte Carlo VaR
    • Stress Testing Scenarios
    • Historical Garch simulation without variance/correlation matrices, which considerably improves robustness and accuracy.
  • Assets handles include Commodities, Energy, Equities, Fixed income, Foreign Exchange and Money Markets.
  • 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.

Combining UNIVVAR and UNIVDRV - Universal Derivatives Add-in

When UNIVVAR is combined with the UNIVDRV - Universal Derivatives Add-in, you can calculate Delta-Gamma VaR, as well as historical variances and correlations between assets. You can also generate simulations using historical Garch simulations and/or historical returns (without variance/correlation matrices) and display the resultant VaR numbers and return distributions.

Why not consider MBRM Comprehensive Combined Package : An inclusive package of our main software packages (This would be a massive saving on the individual selling price of these packages)

CLICK HERE to see our latest Price List.