UnRısk VaR MODULE
Calculating Value at Risk and other Critical Key Figures
High-precision VaR calculation and risk metrics for regulatory and portfolio-level risk management.
Risk measurement and Regulatory Risk Control with UnRısk VaR MODULE
The UnRısk VaR MODULE enables financial institutions to calculate VaR and additional key metrics on single instrument and portfolio level using consistent and auditable methodologies. It supports market risk oversight across asset classes and time horizons. The module contributes to internal risk control, regulatory consistency, and structured management reporting through reproducible Value at Risk results and comparable risk measures.
Quantitative VaR Engine and Calculation Logic of UnRısk VaR MODULE
The UnRısk VaR MODULE is a quantitative risk component designed for VaR Calculation across portfolios and instruments. It processes positions and market data to compute Value at Risk, Marginal VaR, and Contribution VaR based on established statistical approaches. Integrated expected shortfall computation and historical backtesting support model validation and methodological consistency over time.
Features of UnRısk VaR MODULE for Market Risk Analytics
Support multiple VaR methods (parametric, historical, Monte Carlo, etc.)
Robust backtesting
Deep insights into market exposure and tail risk
VaR calculation across different asset classes
VaR calculation at portfolio level
Benefits of UnRısk VaR MODULE for Financial Institutions
Ecosystem Integration
Integrates seamlessly with UnRısk EXCEL, UnRısk QUANT, and UnRısk FACTORY for unified risk workflows.
Beyond VaR
Computes key risk measures such as Expected Shortfall for a comprehensive assessment.
Holistic Risk View
Delivers clear insights into market and counterparty risk across stress scenarios.
Gain clarity on your VaR calculation approach and assess its impact on portfolio and regulatory risk reporting.
Who uses UnRısk VaR MODULE in Financial and Risk Teams
Risk Management
Regulatory & Compliance
Frequently asked Questions
Which VaR methods are supported?
The module supports parametric, historical, Monte Carlo, marginal, contribution, conditional, and peak-over-threshold VaR methods.
Can VaR be calculated at portfolio level?
Yes. The module can calculate VaR and additional key metrics on single instrument and portfolio level.
Is backtesting included?
Yes. The module includes integrated backtesting software for VaR.
Does the module support expected shortfall?
Yes. Expected shortfall computation is available as part of the risk metrics.
Which asset classes are covered?
The module supports VaR calculation across multiple asset classes.
How does the module integrate with other UnRısk products?
The module integrates with UnRısk EXCEL, UnRısk QUANT, and UnRısk FACTORY.
Resources
Download our Fact Sheet for more Information