The estimate Market Value at Risk (VaR) is an integrated solution of QUANTOS developed under the Company's activities in the financial and banking sector. The solution covers all the estimations of a portfolio (stocks, bonds, derivatives, positions customers) such as:
- Total value at Risk
- Marginal value at risk of portfolio elements
- Relative value at risk, in comparison to a benchmarked portfolio
- Stress testing, for the analysis of the potential impact of extreme market changes
- Back-testing, for the evaluation of the model effectiveness
The solutions are developed in open SAS code and it is particularly flexible and adjustable in order to cover the special needs of an organization, with regards to the modelling, management of data and the production and presentation of reliable results. The algorithms used reflect the expertise of QUANTOS in the area of econometrics.