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