Market Risk
BM-VaR: The most advanced and comprehensive toolkit for measuring and managing market risk:
BM VaR is a risk management toolkit which integrates with your portfolio data, multiple market data sources with the advanced risk analytics engine for Value at Risk, Expected shortfall VaR (EVT), Stress test (both Univariate sensitivity based as well as multifactor stress test framework) to determine your portfolio's response to multiple correlated market scenarios under extreme conditions.
What differentiates BM-VaR from other solutions for market Risk?
- Ability to generate your own variance covariance matrix leveraging various techniques like EWMA, GARCH, apart from standard historical variance covariance matrices etc.
- Ability to generate Mean reverting stochastic volatilities. It has been observed that such models are useful in more volatile emerging markets.
- Similarly for the fixed income instrument you can either upload term structure from the third party feeds or can generate term structure leveraging the in-built term structure model.
- Ability to handle tail risk/Non-Gaussian risk Ability to decompose risk across different risk factors.
- Ability to include what if deals to understand the incremental impact on portfolio without having to re-compute the VaR for the whole portfolio.
- Ability to study the impact of additional exposure/position at all hierarchical levels of your portfolio without having to perform the complete re-valuation.
List of methods supported in BM-VaR
- Closed form Solutions for VaR (variance – covariance method)
- Monte Carlo VaR
- Historical Simulation Approach to VaR
- Structural Approach to VaR
- VaR for Non-Gaussian Risk
Depending on the complexity of the market & instruments in your portfolio you can choose the appropriate method for calculating VaR.