Theorem Technologies LLC

Risk Analytics

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.