VaRisk Market Risk
VaRisk Market Risk
Windows & Web App

VaRisk Market Risk is a computer program running on Microsoft Windows and on the web to analyze the market risk of money market, fixed income securities, foreign exchange, interest rate swaps, currency swaps, FX vanilla options and exotic FX options exposures. You do not need to wait for hours to calculate the VaR using Monte Carlo Simulation. To calculate VaR using grid-based Monte Carlo (with 10,000 iterations and 1,000 FX transactions), the system only takes about 13.6 seconds on a standard personal computer. This can be done thanks to the optimization performed by the system. The calculation using Delta Normal model even faster, it takes only about 0.33 seconds to complete. This software helps banks and companies investing in the financial markets analyse market risk of their exposure.

Features include:

  • Users can choose the method of sampling methods, data return, weighted historical data and data cleansing
  • Supports volatility models using sample variance, Exponentially Weight Moving Average and GARCH(1,1)
  • The user may select holding period, confidence level and the base currency Holding
  • Supports Value-at-Risk model using variance-covariance (Delta Normal and Cornish Fisher)
  • Supports Value-at-Risk model using historical simulation (Full Valuation, Grid Based Revaluation, BRW - Boudoukh and HW - Hull & White)
  • Supports Value-at-Risk model using Monte Carlo simulation (Full Valuation, Boot Strap and Grid Based)
  • VaR calculation uses "thread" to allow user to view other menu (Windows version)
  • Supports Black-Scholes model, Vanna-Volga and Monte Carlo Simulation for Exotic options
  • Supports several cash flow mapping methods, risk aggregation and tail smoothing
  • Equipped with stress testing for each risk factor with graph
  • Supports hypothetical P/L, Independence Test & Joint Test for backtest purpose
  • Supports market risk capital charge using standardized approach for reporting to Bank Indonesia
  • Supports market risk capital charge using internal model Basel II and stressed VaR Basel 2.5