Financial Instruments carry risks... & plenty of rewards for those who master them!

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Risksvr™ SETUP Primer

As a Beginner, you can run Risksvr™ in two steps.

1 - Define your Portfolio:

 Positions

To get a view of your risks, you have to first define your portfolio. 

To create groups you can associate tags and tag levels. 
i.e. /portfolio/Strategies/

2 - Request your Analysis:

 Analysis

Once you have defined your portfolio, you must select a methodology to run your risk analysis:
Monte-Carlo, Historical, Parametric, what-if analysis. 
You can then select one or multiple risk horizons. (Parametric Analysis offers one single horizon, since daily volatility is multiplied by the square root of time. (stationary) 

 

Press  Run / Compute

Run Risksvr Engine

That's It !!

 

 

 

 

 

 

 

 

 

Risksvr(TM) Advanced SETUP

For advanced users, three out of at least four steps are required:

 

 

  Run Risksvr Engine    

1 - Definition:

To get a view of your risks, you have to enter the positions, exposures or investments that constitute your view of the world. Some exposures might be simple, while others quite complex.
Risksvr provides the facility to define each individual cash-flow, if so needed.

You create groups by associating trades with tag(s).

Amounts can be entered as 1M, 1K and spreads can be entered as %,BP, 

2 - Selection:

You must then select a methodology to run:
Monte-Carlo, Historical, Parametric, what-if. 
and you horizon. ageing, stationary assumptions,Bootstraping.

3- Output: 

You choose the reports to output.
Mark-to-Market, 95%  Value-At-Risk. Moment Analysis. Potential future exposure. (Losses , Survival probabilities, see credit) histograms, scatter plots, exposures, table reports. etc.

Run Risksvr Engine

Run / Compute to launch Risksvr™.

It's as simple as that !

You can proceed to the next step to tweak credit reports. 

4) Data Setup:   (Advanced users).

The Credit screen provides access to the credit module.
Counterparty Data, Accounts, netting, recoveries & expected default frequencies.

5) Market Data & What-If Analysis (Stress Tests):

This screen gives you access to past and virtual Market Data. 
You can mimic past price movements or synthesize scenarios for what-if analysis. 

If you need to incorporate liquidity risks. (Advanced users).

6) Liquidity Data Setup:

The Credit screen gives you access to liquidity settings. Bid-Ask spread adjustments & position closeout.

 

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