Advanced risk measurement on demand

Rapidly add sophisticated portfolio risk analysis

Generate Value-at-Risk (VaR), multi-dimensional stress testing, exposure analysis, and options analytics across portfolios, sub-portfolios, and individual positions.  Interact with powerful views of risk in order to better track intraday portfolio activity.

  • Multi-model Value at Risk (VaR) – Parametric, Historical Simulation and Monte Carlo
  • VaR decomposition – Marginal VaR and Incremental VaR
  • Expected Tail Loss – conditional VaR analysis of tail events/tail loss
  • Advanced volatility analysis – EWMA volatility, as well as GARCH
  • Sophisticated Options Analytics – Sensitivities (all “greeks”, as well as on-the-fly implied volatility calculations).
  • Correlation & Covariance Matrix analysis.
  • Stress-testing – hypothetical index moves, underlying asset shocks, volatility spikes, and historical scenario analysis.

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“We are thrilled about the integration of our RiskAPI into the Theorem platform. The combination of their data aggregation and normalization capabilities and our robust set of on-demand risk analytics will be a great addition to both current and future Theorem clients trading a wide array of commodity derivatives.”

– Ittai Korin, President of PortfolioScience