R/V Platform's Standard Statistics

R/V Platform offers comprehensive range of market risk figures with arbitrary hierarchy for single step Monte Carlo and Historical simulations with arbitrary holding period, and Monte Carlo path simulation.

Available full valuation statistics from simulations are :

  • Mark-to-Model (MTM)
  • Mean
  • Median
  • Standard Deviation
  • Volatility
  • Holding Period Volatility
  • Skewness
  • Kurtosis
  • Min
  • Max

Available market risk figures are with arbitrary confidence levels are:

  • Value-at-Risk (VaR)
  • Conditional Value-at-Risk (CVaR)
  • Relative Value-at-Risk (Rel VaR)
  • Relative Conditional Value-at-Risk (CVaR)
  • Absolute Value-at-Risk (Abs VaR)
  • Absolute Conditional Value-at-Risk (Abs CVaR)
  • Value-at-Risk per annum (VaR pa)
  • Relative Value-at-Risk per annum (Rel VaR pa)

Hierarchy is an essential means to make figures interesting. Hierarchies can be based on:

  • business unit
  • manager
  • currency
  • country
  • product

Hierarchies are possible to make parallel, when same input data and portfolios are possible to combine in various aggregate portfolios.

Other possible reports for market risk include:

  • Risk Contribution
  • Sensitivity Analysis
  • Various forms of Scenario Analyses
  • Risk Decomposition
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