Value-at-Risk (VaR) is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. It estimates how much a set of investments might lose, given normal market conditions, in a set time period such as a day. VaR is measured in three variables: the amount of potential loss, the probability of that amount of loss, and the time frame and typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover possible losses. This app calculates Market, Liquidity-Adjusted, Credit and Operational Value at Risk (VaR) with main features as follows:
Add the stocks of your choice using Yahoo Finance symbol.
User-defined historical data time range.
User-defined portfolio consisting stocks you have added.
View price chart, return chart dan volatility chart using Exponentially Weighted Moving Average (EWMA).
Monitor your portfolio market values, volatilities and VaR figures instantly.
Calculate Market Value at Risk (VaR) using Variance Covariance Method (VCM) based on chosen confidence level and holding period.
Calculate Liquidity-Adjusted Value at Risk (VaR) based on bid-offer spread using VCM based on chosen confidence level and holding period.
Compute Credit Value at Risk (VaR) using One-factor Gaussian Copula based on chosen confidence level and copula correlation.
Compute Operational Value at Risk (VaR) using Monte Carlo Simulation based on chosen confidence level, Poisson and Log-Normal distribution.
Live Currency Rates & Gold Price.
Estimate Probability of Default (PD), Copula Correlation & Worst Case Default Rate (WCDR).
Real-Time Global News from multiple sources.
Fitting of Lognormal Distribution.
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