To calculate Value at Risk (VaR) and other Key Figures

The module covers parametric, historic and Monte Carlo Value at risk calculations for a variety of risk factors. For a deeper understanding of the sources of risk, the UnRisk VaR MODULE allows the calculation of incremental, marginal and contribution VaR from single instruments up to the portfolio level. Besides the VaR other important key ratios, like the expected shortfall, are calculated. Routines for backtesting the results are included. Also, scenario analysis and stress testing are part of the engine. The UnRisk VaR MODULE is part of the UnRisk FACTORY and can be used to extend the functionality of UnRisk QUANT.

Key Benefits and Key Features

    • Broad coverage of risk factors

    • Covers parametric, historic and Monte Carlo VaR

    • Deep insight into market risk on single instrument and portfolio level

    • Backtesting

    • Scenarios

    • Advanced key ratios

 
UnRisk VaR MODULE

Licensing/Requirements

Licensing

Licensing is based on the underlying configuration of UnRisk QUANT. The UnRisk VaR MODULE is part of our UnRisk FACTORY solution.

Here you can find the license agreement.


UnRisk VaR MODULE requires


Learn more about UnRisk VaR MODULE in our Factsheet

Download Factsheet

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Pricing

Standard licenses are annual licenses. Perpetual licenses are available upon request. Please contact sales for further information.

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Try out the UnRisk VaR MODULE!

Please contact UnRisk Support to obtain your temporary UnRisk VaR MODULE license file.

Full as well as evaluation licenses are subject to the acceptance of theย license agreement.ย  If you do not agree to be bound to the license agreement, do not download an evaluation copy.