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Presentation, Andreas Binder, Michael Schwaiger, UnRisk Consortium
We want to point out that VaR is not the end but the beginning of advanced risk management processes, that UnRisk calculates a VaR cube for a deeper understanding of sources and impact of different risk factors and how UnRisk's blazingly fast calculation and intelligent computational minimalism empower the computation of such cubes in 3 min instead of 12 hours. The presenters will give exclusive insight with full explanation in methods and implementations and show live examples
A First Example
Analyse a portfolio of different asset classes
Value at Risk – Theory and Methodologies
How UnRisk covers historical, parametric and Monte Carlo VaR Common features of these VaRs, differences, advantages, drawbacks
Risk Factors in the UnRisk VaR
Analyse your portfolio with respect to various risk factors. How UnRisk handles interest rate, exchange rate, equity, credit and volatility risk. And even more risk factors
Different VaR Numbers – Outputs
How UnRisk calculates different VaR numbers: portfolio level VaR, instrument level VaR, single risk factor VaR, contribution VaR
A Second Example
A live demonstration of the UnRisk VaR step by step, from the inputs to a basic risk report.
Outlook: VaR in the UnRisk FACTORY
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