7-Apr-11, UnRisk took the VaR Universe, that produces cubes of VaRs, to developers of cool risk management systems 

UnRisk has released the VaR Universe on top of its blazingly fast valuation engine UnRisk-Q.

UnRisk VaR Universe

is positioned as a module that produces informationally rich input for the risk management process. VaR can be calculated across the major methods - historic, parametric and Montecarlo - and a vast variety of risk factors. The calculations produce a cube of VaRs spanning the portfolio VaR, into individual, component and composite VaRs providing a deeper understanding of sources and impact of different risk factory. Because speed really matters, calculations are optimized by principle component analysis and Taylor series expansions, where applicable. This has shortened the calculation time of cubes significantly, say, from 12 hours to 3 minutes.

UnRisk-Q - Unleashing the programming power behind UnRisk PRICING ENGINE and UnRisk FACTORY

UnRisk VaR Universe is built on top of UnRisk-Q that is offered to quant developers as the culmination of the co-evolutionary development of the bank-proof UnRisk products. UnRisk-Q integrates numerically optimized pricing and calibration engines, written in C++, into Mathematica 8. Before release, UnRisk-Q was the hidden driver of the quick UnRisk growth - parts of unRisk are programmed in UnRisk.

"Making UnRisk-Q available to quant developers we re-invented our business. We made Unrisk-Q the pacemaker of all UnRisk developments and deliver solutions and know-how packages", summarizes Andreas Binder, CEO of the UnRisk consortium, "the VaR Universe was a consequent step", he added.

Download the documentation of the VaR Universe