By using advanced yield curve and volatility models “Market Risk” can measue the value at risk values (VaR) for Portfolio Mangement Companies. Stress tests and scneario analysis are also supported.
Different models such as:
- Parametric,
- Historical simulation,
- Monte Carlo simulation
are used to calculate VaR values for more than 50 different instruments.
Marjinal VaR, Incremental VaR, RAROC (Risk Adjusted Return on Capital) and ECAP (Economic Capital) can also be measured.