RiskSrv: Multivariate Analysis

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

Tools

Analytics

Risk-Engine

Technology

Data

Multivariate Analytics
	Cholesky.xll	:	Cholesky Decomposition for real symmetric matrix.
	Princo.xll	:	Spectral Decomposition, Eigenvalues, Eigenvectors & Principal Components.
	Student-T.xll	:	Multivariate Student-T and Student-T Variates for Fat-Tail / Normal-Mixture models.
	SVD.xll	:	Singular Value Decomposition for Numerically Unstable Square Matrices.
	Unitized.xll	:	Standardized Normalized Returns.

Cholesky Add-In

Real-time Cholesky Decomposition Add-In.

Factorize real symmetric matrices via Cholesky decomposition.
most intuitive & efficient way to generate Multivariate Normal Distributions.

View Application Note

Download Cholesky Zip File

Zip file includes: Cholesky.xll (Add-In), spreadsheet, on-line help and application example.

View on-line help

Download Individual Components:

	Description	Name
Download	C/C++ Add-In	Cholesky. xll

Download	On-Line Documentation ONLY I.E. Browsers	Cholesky hlp
	On-Line html Documentation	Cholesky.chm
Download	Excel� Spreadsheet	Cholesky.xls

Principal Component Analysis

Eigenvalues and eigenvectors have numerous applications in financial risk management.

- Correct Positive Definiteness of time series data.

- Validate and increase quality of Time Series data.

- Extract structural properties from Principal Components.

- Extract cross-explanatory variables for Factor Analysis.

- Enhance Monte-Carlo speed and accuracy.

- Compute Marginal probability densities.

View Application Note

Excel� C++ Add-in and Demo Spreadsheet with application manual and on-line help.

Download Princo Zip File

Zip file includes: Princo.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components:

	Description	Name
Download	C/C++ Add-In	Princo.xll

Download	On-Line Documentation ONLY I.E Browsers	Princo hlp
	On-Line html Documentation	Princo.chm
Download	Excel� Spreadsheet	Princo.xls

Multivariate Student-T Normal Mixture

Real-time MultivariateStudentT Distribution Add-In.

Generate MultivariateStudentT distributions for Normal Mixture Fat Tails Models.

View Application Note

Download MultivariateStudentT Zip File

Zip file includes: MultivariateStudentT normalimixture.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components:

	Description	Name
Download	C/C++ Add-In	StudentT. xll

Download	On-Line Documentation ONLY I.E Browsers	NormalMixture hlp

Download	Excel� Spreadsheet	StudentT.xls

SVD Singular Value Decomposition

Singular Value Decomposition to solve ill conditioned square matrices.

Excel� C++ Add-in and Demo Spreadsheet with application manual and on-line help.

Download SVD Zip File

Zip file includes: svd.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components:

	Description	Name
Download	C/C++ Add-In	svd

Download	On-Line Documentation ONLY I.E Browsers	svd
Download	Excel� Spreadsheet	svd.xls

Standardized - Unitized - Normalized Returns

Unitized Returns demonstrates how Cholesky or SVD technology can be bypassed altogether in order to compute variance / covariance or correlation by scaling returns and volatility to unity.
Unitized returns are perfect for Monte-Carlo simulation.
Better yet, they can be used to compute incremental Value-at-risk (VaR), Marginal VaR as well incremental correlation in a real-time environment.

What are Unitized - Normalized Variates

Excel� C++ Add-in and Demo Spreadsheet with application manual and on-line help.

Download Unitized Zip File

Zip file includes: Unitized.xll (Add-In), spreadsheet, on-line help and application example.

Download Individual Components:

	Description	Name
Download	C/C++ Add-In	Unitized. xll

Download	On-Line Documentation ONLY I.E Browsers	Unitized hlp
	On-Line html Documentation
Download	Excel� Spreadsheet	Unitized.xls

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