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 VaR recalculations.
• Component VaR
  VaRManager™ decomposes total VaR into additive component VaRs by currency, commodity, equity and maturity.
• 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 undiversified VaR at the same time.
• Monte Carlo, Analytic VaR and Historical VaR
  VaRManager™ performs delta-mapping analytical VaR, Monte Carlo VaR, or Historical Simulation VaR 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 RiskMetrics 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

More Info

Ease-of-Use

• 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 and Analytic VaR calculations controlled from a single screen.