R/V Platform Market Data Estimation Module: DATA+

The essential prerequisites for effective financial risk management are reliable sources of market data and the statistical parameters and estimates that specify the nature and degree of risk. The latter need is satisfied by the DATA+ module for comprehensive statistical analysis of the underlying random variables.

DATA+ is designed to meet these requirements by incorporating the following tasks:

  1. to automatically collect observations of specified time series from financial data providers
  2. to store the time series in a database for further browsing, analysis, cleaning and filtering
  3. to produce advanced estimates of the parameters for stochastic processes and yield curves
  4. to create an environment for statistical and econometric analysis for corporate-wide needs

In other words, the objective is to conduct an extensive analysis of the factors which drive the stochastic future values of the portfolios of a corporation or a financial institution.

Typically, DATA+ is used by risk management experts to periodically update the parameters of stochastic processes which form the mathematical foundation for any simulation-based analysis. The program establishes the link between raw historical data on risk factors and the stochastic processes used in Monte Carlo simulation analysis.

DATA+ is implemented with Internet tools and is able to receive real-time data from standard providers of financial information such as Reuters or Bloomberg.

The software can be implemented as a stand-alone application, or it can be configured to provide the essential market data input for advanced Monte Carlo based simulation systems such as the R/V Platform and its modules or corresponding in-house systems or systems by other vendors.