Analytics

The Analytic section is a repository of useful industry standard tools and references for managing risks.

The repository is currently split into the following sections:

  1. Stress Testing:  Predictive Stress Test, Correlation Stressor.
  2. Time To Default Computation:  use Gaussian Copula Functions to Bridge inverse univariate defaults from credit curves to correlated asset price returns.
  3. Expected Default Tools: Survival Expected Default and Hazard Rate converter for credit risk computations.
  4. Multivariate Analysis: Cholesky Factorization, Principal component analysis, SVD, Jacobian analysis.....
  5. Data Processing: To measure risks you obviously need Data. Data is probably the biggest constraint in risk management. It is critical and yet extremely reactive. The following tools and techniques should hopefully make your life a lot easier in this respect.
  6. Random Generator: Upgrade ExcelŽ to professional mode! Get the best ever public Random Generator packaged in a c++ ExcelŽ Add-In.
  7. Managing Risk: Tools, techniques & methodologies to manage risks. Some well know some others slightly less well understood.
  8. Cash-Flow Generator:  Generate Fixed and Floating Flows, Exercise or Barrier Events with or without averaging and compounding that can be readily output into XHTML,XML, raw ASCII or Excel(R) format.
  9. Pricing: Industry standard algorithms for derivatives, advanced numerical schemes. Complex pricing issues.