Time tested analytics from FEA:

VaRManager utilizes Financial Engineering Associates’ (FEA) MakeVC and VaRLib analytics, a recognized standard for value-at-risk and financial derivative valuation.

Additive Sub-portfolio VaR

VaRManager decomposes total portfolio VaR into additive sub-portfolio VaRs by any two of 12 user-defined fields. This allows the user to calculate the contribution to total VaR of each trader, each region, each strategy, each counterparty, etc. Additive sub-portfolio calculations can be done using an automated process which calculates the undiversified VaR at the same time. Risk management can isolate where the high risk trades are coming from quickly.

Incremental VaR

VaRManager’s Incremental VaR can rapidly evaluate candidate trades, and can give not only the impact of a new deal, but also where the impact is.

Lights Out Operation

During implementation, Macro can work with your IT group to design automated interfaces with your various data sources. Then using the batch scheduling in VaRManager, the VaR calculations can be run automatically with the results from possibly several scenarios and/or portfolios ready for review.

Latest Technology

VaRManager stores results into a SQL database. This allows for extensive reporting and analysis such that user-based Business Intelligence is possible. The data is open for access to other users where appropriate security access has been granted.

VaRManager has the ability to schedule VaR calculations and batch process VaR runs. This means that not only will you get the VaR number, you will be able to regularly run your scenarios and stress tests without having to be in front of the computer.

Implementation Assistance

VaRManager can be run on a stand-alone basis or as an addition to an existing deal-capture system.

Macro Enterprises can provide full instructions for user-driven implementation, turnkey implementation services, or anything in between.

Implementation support and follow-up support is essential to success. Macro has the experience for any project.

Extensive transaction types covering array of instruments

VaRManager supports an extensive array of transaction types, covering interest rate, currency and commodity instruments, and new types are being added continuously. Covered deal types include:

2 Asset Spread Options
3 Asset Spread Options
Asian Options
Best-Of Options
Bond Forwards
Bonds
Cash Flows
Commodity Futures
Commodity Index Swaps
Commodity Physicals
Commodity Swaps
Commodity Swaptions
Conventional Options
Currency Swaps
Differential Swaps
Equities
Floating Rate Notes
Interest Rate Swaps
Money Market Instruments

VaRManager - delivering transparency in risk

Value at Risk is a number used to help manage risk in a portfolio. The math is established and proven and used commonly on nearly every trade floor. This is just one number.

VaR Manager With VaRManager, the Value at Risk number has backup. Using the proven math library of Financial Engineering Associates (FEA), VaRManager produces Value at Risk across up to 12 user-defined categories such as commodity/trader/region.

VaRManager will:

Expand your current Risk Management capabilities.
Provide more transparency into your portfolio.
Simplify current Risk Management procedures.
Expand your current Stress Testing capabilities.
Enable batch “Lights Out” Value at Risk processing.

With VarManager, you can expect the following features included among many others in a robust tool:

Searchable Transaction and Historical Price Databases.
Security provided through password protection and customized access.
Extensive on-screen menus, pull-down lists and selection buttons.
File import capability for historical price and transaction data.
Monte Carlo, Historical, and Analytic Value at Risk calculations controlled from a single screen.
Embedded scheduling functionality to enable “Lights Out” calculations.

See more detail and more scenarios in less time

VaRManager allows for scenarios and stress tests to test thesis and sensitivity.

Depending on time requirements, corporate risk policies, portfolio size, and portfolio linearity/non-linearity; Analytic, Monte Carlo, and Historical Value at Risk models are all available within VaRManager.

Analysis Features

Automated Cash-Flow Mapping

VaRManager™ automatically shreds each deal into its component cash flows, and allocates those flows into currency, commodity, equity and maturity "buckets".

VaRdelta

This patented process rapidly evaluates candidate transactions for their VaR-improving qualities, without requiring time-consuming portfolio-wide Value at Risk recalculations.

Component VaR

VaRManager™ decomposes total Value at Risk into additive component VaRs by currency, commodity, equity and maturity.

Additive Sub-portfolio VaR

VaRManager™ decomposes total portfolio Value at Risk into additive sub-portfolio VaRs by any two of 12 user-defined fields. This allows the user to calculate the contribution to total Value at Risk of each trader, each region, each strategy, each counterparty, etc. Additive sub-portfolio calculations can be done using an automated process which calculates the undiversified Value at Risk at the same time.

Monte Carlo, Analytic VaR and Historical VaR

VaRManager™ performs delta-mapping analytical Value at Risk, Monte Carlo Value at Risk, or Historical Simulation Value at Risk using Financial Engineering Associates' derivative pricing models.

Extensive Instrument Coverage

VaRManager™ supports a large set of cash derivative instruments.

User-Defined Fields

VaRManager™ allows the user to define up to 12 fields in transaction records for categorizing and sorting deals. These can be specified in pull-down menus or input as alphanumeric fields.

Price Data Options

VaRManager™ supports the internal generation of custom volatility-correlation datasets using historical price data, as well as the use of Risk Metrics volatility-correlation datasets.

Missing Price Estimation

Expectation maximization (EM), various interpolation, omit-day, and prior-day methods are provided to accurately replace missing prices in historical price datasets.

Decay Factor Optimization

The decay factor can be automatically optimized to minimize forecasting error. Alternatively, the user can specify a fixed decay factor and tolerance to control the weight given to prior price observations.

Adjustable Observation Window

Backtesting and other analyses are easy to conduct because you can specify the starting and ending dates of the observation period.

Variable Confidence and Horizon

Specify any confidence level and set the forecast horizon to any period from one day to several years.

Zero-Coupon Curve Generation

VaRManager's™ analytics convert quoted rates on coupon-bearing bonds and swaps to zero-coupon rates, accounting for the payment frequency and day-count basis.

Currency Rebasing

Results can be expressed in local currency terms or rebased to any specified currency.

Stress Testing

Portfolios can be stressed, and mark-to-market changes can be determined, using a variety of user-designed price shocks. The stress testing can also be applied to the user-defined field categories.

Equities

Asset risks can also include equity quotes for stock prices. Equity positions without dividends can also be included in the portfolio