Risksvr™ Financial Risk Server

Making the most out of your Investments

Country Exposure
Country Exposure Limit Excess
US 6495759.760084 0.000000 6495759.760084

Account Value Net of Collateral

Counterparty-Accounts Current Net Exposure
000102 10000000.000000
000101 -3504240.239916









Losses per Simulation Horizon

Horizon Mean Volatility Minimum Capital
1 9609.679414 303884.745313 0.000000
2 9607.146445 303804.645804 0.000000
3 0.000000 0.000000 0.000000
4 9584.353221 303083.860790 0.000000
5 0.000000 0.000000 0.000000
6 28377.405721 517579.297935 0.000000
Maximum Loss per Simulation Horizon
Time Step Horizon Maximum Loss Simulation Step Default States
1 1 9609679.41 615 1
2 7 9607146.44 328 1
3 21 0.00 0 0
4 61 9584353.22 938 1
5 183 0.00 0 0
6 365 9459140.97 918 3

Counterparty Losses per Simulation Horizon

Counterparty 0001
Time Step Horizon Maximum Loss Simulation Step Default States
1 1 9609679.41 615 1
2 7 9607146.44 328 1
3 21 0.00 0 0
4 61 9584353.22 938 1
5 183 0.00 0 0
6 365 9459140.97 918 3
Total Default States
6

Dimension Of Risk

Credit Account Risk

Position Mark-to-Market Volatility DEaR 99.0% DEaR 99.9% DEaR 99.98% Horizon
000102 10000000.000000 0.000000 0.000000 0.000000 3.540000 1
000101 10520.288794 5.845991 4.723466 9.189803 0.511682 1
Total 10010520.288794 5.857586 4.750437 9.225633 0.523277 1
000102 10000000.000000 316227.766017 725545.783755 967143.796992 306231.306017 7
000101 10520.288794 331.111745 698.839780 951.809153 263.325607 7
Total 10010520.288794 316558.522356 726243.796863 968094.507943 306490.736218 7
000102 10000000.000000 446989.708830 1019698.062738 1361198.200284 426993.248830 21
000101 10520.288794 462.891433 877.537781 1231.186836 267.283741 21
Total 10010520.288794 447451.978397 1020574.154060 1362427.465555 427256.370705 21
000102 10000000.000000 446989.708830 1019698.062738 1361198.200284 426993.248830 61
000101 10520.288794 450.022797 544.596130 888.413547 -48.594099 61
Total 10010520.288794 447438.407742 1020239.579512 1362082.523027 426939.790846 61
000102 10000000.000000 547174.011992 1242726.751893 1660767.697055 517177.551992 183
000101 10520.288794 516.294858 75.532552 469.981824 -605.534430 183
Total 10010520.288794 547689.625052 1242800.698583 1661235.572123 516567.795764 183
000102 10000000.000000 547174.011992 1242726.751893 1660767.697055 517177.551992 365
000101 10520.288794 491.544421 -422.604593 -47.064655 -1070.852496 365
Total 10010520.288794 547665.445255 1242303.888747 1660720.288922 516103.048338 365

Risk Factor Price Sensitivities


Distribution Moments

Simulations per Horizon:1000

Dimension Level Mean Volatility Skewness Kurtosis Horizon
000102 10000000.000000 0.000000 0.000000 0.000000 1
000101 10511.414484 5.845991 0.098526 2.904741 1
Total 10010511.414484 0.000000 0.000000 0.000000 1
000102 9990000.000000 316227.766017 -31.575323 998.001001 7
000101 10448.962656 331.111745 -31.473431 993.718564 7
Total 10000448.962656 316558.522356 -31.575323 998.000996 7
000102 9980000.000000 446989.708830 -22.293542 498.002004 21
000101 10321.141102 462.891433 -22.203346 495.328550 21
Total 9990321.141102 447451.978397 -22.293542 498.002001 21
000102 9980000.000000 446989.708830 -22.293542 498.002004 61
000101 10018.131898 450.022797 -22.096323 492.162032 61
Total 9990018.131898 447438.407742 -22.293542 498.001998 61
000102 9970000.000000 547174.011992 -18.175157 331.336342 183
000101 9394.919506 516.294858 -18.102709 329.588042 183
Total 9979394.919506 547689.625052 -18.175157 331.336341 183
000102 9970000.000000 547174.011992 -18.175157 331.336342 365
000101 8954.351877 491.544421 -18.162744 331.036470 365
Total 9978954.351877 547665.445255 -18.175157 331.336342 365

Credit Account Risk




Market Product Type Risk

Position Mark-to-Market Volatility DEaR 90.0% DEaR 95.0% DEaR 99.00% Horizon
FXOption 1721.769839 54.439923 58.022225 77.783917 44.996166 1
FXForward -65960.064857 314.159407 372.010700 486.050565 285.743748 1
FRA 54200.870978 1713.140499 2115.334091 2737.204092 1634.554470 1
EquityOption 2963726318.473415 93701379.587584 116152015.370755 150165616.161048 89728228.653056 1
Cash 0.000000 0.000000 0.000000 0.000000 2.326000 1
Bond -3505962.009755 343.301854 -22.221447 102.397126 -116.706570 1
Total 2960210319.039621 93703437.636184 116154068.031187 150168415.893121 89729700.943783 1
FXOption 1721.769839 75.435812 24.270257 51.653457 5.323358 7
FXForward -65960.064857 2259.504700 2712.584047 3532.784253 2077.729722 7
FRA 54200.870978 2414.380055 2800.141777 3676.561737 2121.612601 7
EquityOption 2963726318.473415 132243192.301438 157111193.661066 205115472.466488 119818615.758061 7
Cash 0.000000 0.000000 0.000000 0.000000 2.326000 7
Bond -3505962.009755 110970.167530 142595.032286 182877.203099 111303.771042 7
Total 2960210319.039621 132166034.213828 157012056.637378 204988327.056997 119741237.315078 7
FXOption 1721.769839 71.956345 -114.065983 -87.945830 -132.031672 21
FXForward -65960.064857 3302.204849 3627.214285 4825.914645 2698.318518 21
FRA 54200.870978 2397.637958 2404.090744 3274.433323 1730.282840 21
EquityOption 2963726318.473415 131773812.061144 143383821.533003 191217715.311199 106223608.857761 21
Cash 0.000000 0.000000 0.000000 0.000000 2.326000 21
Bond -3505962.009755 157140.396936 198970.219401 256012.183488 154658.953465 21
Total 2960210319.039621 131616371.144052 143178016.300354 190954759.025645 106062201.963732 21
FXOption 1721.769839 72.466860 -464.974479 -438.669008 -483.084133 61
FXForward -65960.064857 3945.526184 3080.646785 4512.872790 1970.334401 61
FRA 54200.870978 2875.680121 1881.094415 2924.966299 1072.478621 61
EquityOption 2963726318.473415 159417346.210757 137627867.100920 195496363.775425 92672177.795487 61
Cash 0.000000 0.000000 0.000000 0.000000 2.326000 61
Bond -3505962.009755 157959.720559 181820.317223 239159.695786 137278.002025 61
Total 2960210319.039621 159289287.314354 137438670.628924 195260681.924035 92519093.932276 61
FXOption 1721.769839 33.766171 -1273.455513 -1261.198393 -1280.651573 183
FXForward -65960.064857 5923.397521 902.002007 3052.195307 -766.070093 183
FRA 54200.870978 2685.275111 -1834.099792 -859.344927 -2589.021373 183
EquityOption 2963726318.473415 153718664.366437 5267168.391859 61067043.556876 -38081492.633476 183
Cash 0.000000 7.238036 141.162652 143.790059 141.447526 183
Bond -3505962.009755 196444.824992 178647.226987 249956.698459 123252.112339 183
Total 2960210319.039621 153523004.465383 4929984.083701 60658834.704636 -38363500.849537 183
FXOption 1721.769839 2.581309 -1702.856375 -1701.919360 -1701.258304 365
FXForward -65960.064857 0.000000 65960.064857 65960.064857 65962.390857 365
FRA 54200.870978 0.000000 -54200.870978 -54200.870978 -54198.544978 365
EquityOption 2963726318.473415 201092108.111443 -154878994.984831 -81882559.740377 -211586967.146258 365
Cash 0.000000 15213.645981 -235168.526050 -229645.972559 -239456.448217 365
Bond -3505962.009755 191329.691716 265460.284218 334912.962311 211507.637154 365
Total 2960210319.039621 200949773.145847 -155285912.183220 -82341144.531277 -211953745.884349 365

Risk Factor Price Sensitivities


Distribution Moments

Simulations per Horizon:1000

Dimension Level Mean Volatility Skewness Kurtosis Horizon
FXOption 1710.000082 54.439923 -31.036352 975.402225 1
FXForward -65990.806516 314.159407 -0.080325 2.921814 1
FRA 54119.958950 1713.140499 -31.575102 997.991702 1
EquityOption 2959753165.212887 93701379.587584 -31.563091 997.486574 1
Cash 0.000000 0.000000 0.000000 0.000000 1
Bond -3506424.344179 343.301854 -18.792066 601.206887 1
Total 2956236580.021220 93703437.636184 -31.563092 997.486617 1
FXOption 1649.331385 75.435812 -20.928203 457.958259 7
FXForward -66144.165834 2259.504700 25.104296 735.899152 7
FRA 53905.777524 2414.380055 -22.293026 497.986698 7
EquityOption 2951301739.604038 132243192.301438 -22.263763 497.118805 7
Cash 0.000000 0.000000 0.000000 0.000000 7
Bond -3505630.732242 110970.167530 31.574106 997.949873 7
Total 2947785519.814871 132166034.213828 -22.263741 497.118528 7
FXOption 1515.455822 71.956345 -18.693760 394.308904 21
FXForward -66566.277188 3302.204849 16.379900 331.003875 21
FRA 53531.189860 2397.637958 -22.292038 497.957397 21
EquityOption 2938176112.944032 131773812.061144 -22.203387 495.329193 21
Cash 0.000000 0.000000 0.000000 0.000000 21
Bond -3508445.779226 157140.396936 22.292600 497.974055 21
Total 2934656147.533300 131616371.144052 -22.203171 495.322788 21
FXOption 1163.892846 72.466860 -12.404169 200.172647 61
FXForward -67937.582640 3945.526184 10.174181 176.634702 61
FRA 52395.343479 2875.680121 -18.172937 331.282701 61
EquityOption 2896981147.732145 159417346.210757 -18.029294 327.816572 61
Cash 0.000000 0.000000 0.000000 0.000000 61
Bond -3526646.054289 157959.720559 22.290836 497.921747 61
Total 2893440123.331543 159289287.314354 -18.029070 327.811405 61
FXOption 405.026096 33.766171 -5.030754 63.157321 183
FXForward -72651.858471 5923.397521 5.451485 68.866529 183
FRA 48924.248494 2685.275111 -18.170823 331.231630 183
EquityOption 2771926159.147502 153718664.366437 -17.614479 317.842919 183
Cash 131.883490 7.238036 -18.175157 331.336342 183
Bond -3579157.048409 196444.824992 18.171427 331.246229 183
Total 2768323811.398701 153523004.465383 -17.613059 317.808889 183
FXOption 15.604225 2.581309 -0.929458 10.266546 365
FXForward 0.000000 0.000000 0.000000 0.000000 365
FRA 0.000000 0.000000 0.000000 0.000000 365
EquityOption 2551047240.889714 201092108.111443 -12.261729 155.712337 365
Cash -254672.420198 15213.645981 14.069001 236.120290 365
Bond -3485786.390317 191329.691716 18.168679 331.179838 365
Total 2547306797.683424 200949773.145847 -12.260988 155.700097 365

Market Product Type Risk








Portfolio Distributions

Credit Account Risk

Position Mark-to-Market Horizon
000102 10000000.000000 AsOf
000101 10520.288794 AsOf
Total 10010520.288794 AsOf
Position Level Mean Volatility Horizon
000102 10000000.000000 0.000000 1
000101 10511.414484 5.845991 1
Total 10010511.414484 5.857586 1
000102 9990000.000000 316227.766017 7
000101 10448.962656 331.111745 7
Total 10000448.962656 316558.522356 7
000102 9980000.000000 446989.708830 21
000101 10321.141102 462.891433 21
Total 9990321.141102 447451.978397 21
000102 9980000.000000 446989.708830 61
000101 10018.131898 450.022797 61
Total 9990018.131898 447438.407742 61
000102 9970000.000000 547174.011992 183
000101 9394.919506 516.294858 183
Total 9979394.919506 547689.625052 183
000102 9970000.000000 547174.011992 365
000101 8954.351877 491.544421 365
Total 9978954.351877 547665.445255 365

Market Product Type Risk

Position Mark-to-Market Horizon
FXOption 1721.769839 AsOf
FXForward -65960.064857 AsOf
FRA 54200.870978 AsOf
EquityOption 2963726318.473415 AsOf
Cash 0.000000 AsOf
Bond -3505962.009755 AsOf
Total 2960210319.039621 AsOf
Position Level Mean Volatility Horizon
FXOption 1710.000082 54.439923 1
FXForward -65990.806516 314.159407 1
FRA 54119.958950 1713.140499 1
EquityOption 2959753165.212887 93701379.587584 1
Cash 0.000000 0.000000 1
Bond -3506424.344179 343.301854 1
Total 2956236580.021220 93703437.636184 1
FXOption 1649.331385 75.435812 7
FXForward -66144.165834 2259.504700 7
FRA 53905.777524 2414.380055 7
EquityOption 2951301739.604038 132243192.301438 7
Cash 0.000000 0.000000 7
Bond -3505630.732242 110970.167530 7
Total 2947785519.814871 132166034.213828 7
FXOption 1515.455822 71.956345 21
FXForward -66566.277188 3302.204849 21
FRA 53531.189860 2397.637958 21
EquityOption 2938176112.944032 131773812.061144 21
Cash 0.000000 0.000000 21
Bond -3508445.779226 157140.396936 21
Total 2934656147.533300 131616371.144052 21
FXOption 1163.892846 72.466860 61
FXForward -67937.582640 3945.526184 61
FRA 52395.343479 2875.680121 61
EquityOption 2896981147.732145 159417346.210757 61
Cash 0.000000 0.000000 61
Bond -3526646.054289 157959.720559 61
Total 2893440123.331543 159289287.314354 61
FXOption 405.026096 33.766171 183
FXForward -72651.858471 5923.397521 183
FRA 48924.248494 2685.275111 183
EquityOption 2771926159.147502 153718664.366437 183
Cash 131.883490 7.238036 183
Bond -3579157.048409 196444.824992 183
Total 2768323811.398701 153523004.465383 183
FXOption 15.604225 2.581309 365
FXForward 0.000000 0.000000 365
FRA 0.000000 0.000000 365
EquityOption 2551047240.889714 201092108.111443 365
Cash -254672.420198 15213.645981 365
Bond -3485786.390317 191329.691716 365
Total 2547306797.683424 200949773.145847 365

Country Losses

Country Rating Default States Number of Trials Default Frequency Default Probability T-Statistic
US 5 238 3000 0.079333 0.083925 0.907026


Risksvr™ Completed your Analysis.