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Value at Risk Software

Fast, dynamic access to sophisticated and customizable risk analysis for your fund.

Using RiskAPI, an advanced remote programming interface, PortfolioScience has created a unique software component that allows users to access powerful, managed portfolio risk analysis functionality from within their existing spreadsheets:

  • Add In SC 1
  • Add In SC 2
  • Add In SC 3
  • Add In SC 4
  • Add In SC 5

Benefits:

Integrate sophisticated portfolio risk management into your existing environment. Access a full range of analysis tools - VaR, Correlation, Beta, plus other powerful calculation features - all within your existing framework. Looking for a powerful out-of-the box risk management solution? With one simple & affordable addition, achieve just that. Plus avoid integration expense and the need to learn complicated and costly third party software.

Features:

  • Up to several thousand positions per analysis request.
  • Multi-model Value at Risk, Volatility, Covariance Matrices, Correlation, Beta and more.
  • Complete end-to-end solution: models, data, and computing power all in one service.
  • Integrated on-sheet functions calls.
  • Encrypted, secure client-server communication - ensures portfolio data is secure.

Analytics:

  • Multi-model Value at Risk (VaR) - Volatility based, Delta-Normal, Historical Simulation, Decayed Historical Simulation, Monte Carlo and more.
  • VaR decomposition - coherent, sub-additive component VaR, as well as Marginal VaR and Incremental VaR.
  • Expected Tail Loss - conditional VaR analysis of tail events/tail loss.
  • Advanced volatility analysis - EWMA volatility, as well as GARCH.
  • Sophisticated Options Analytics - Sensitivities (all "greeks", as well as on-the-fly implied volatility calculations)
  • Correlation & Covariance Matrix analysis

A complete risk management infrastructure

The RiskAPI system (Risk Application Programming Interface) is an on-demand, dynamic risk management service that allows hedge funds to quickly and easily run risk analysis calculations on positions and portfolios. The system includes all data, computing power, and models bundled into a remote software API, making rapid generation of risk-reporting simple and affordable.

RiskAPI offers global coverage across multiple asset classes including equities, options, futures, currencies and fixed income. The service is accessible via multiple environments:

Asset Coverage:

  • Global Equities (nearly every global equity exchange available)
  • Global Equity Options (listed as well as OTC)
  • Global Futures (includes financial futures & commodities)
  • Global Futures Options
  • LME Metals (spot, forwards & options)
  • Global Currencies
  • Global Currency Derivatives
  • Global Fixed Income (corporates and sovereign debt)

The RiskAPI works within the Excel environment which means you can quickly set up a risk infrastructure for your fund: download positions from your prime broker, administrator, OMS, or accounting system into a spreadsheet and you are ready to start analyzing exposure - with no back-office integration necessary.