VaRManager delivers more than a number
See more detail and more scenarios in less time
Value-At-Risk (VaR) 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.
With VaRManager, the VaR number has backup. Using the proven math library of Financial Engineering Associates (FEA), VaRManager produces VaR across up to 12 user-defined categories such as commodity/trader/region.
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 VaR models are all available within VaRManager.
Based on time tested analytics from FEA
Additive Subportfolio VaR
VaRManager decomposes total portfolio VaR into additive subportfolio 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 subportfolio calculations can be done using an automated process which calculates the undivisified VaR at the same time.
This gives not only what the impact of a new deal, but also where the impact is. Risk management can isolate where the high risk trades are coming from quickly.
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 suers 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.
Learn more about about VaRManager by exploring its analysis features and transaction types.
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.
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.
Custom Solutions
Macro Enterprises has been providing software and consulting services for over 30 years. The personnel of Macro and our associates are competent not only in software, but in real-world trade floor issues.
Macro's experience in both software development and energy/commodity derivatives business can be applied to support a client's special needs for managing information and risk.
