RISK

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.

Powered by PortfolioScience

“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  

Want to learn more or schedule a demo?
Contact Us