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VaRworks®

VaRworks® is a set of Microsoft® Excel add-in functions that performs Stress Testing and calculates portfolio Value-at-Risk (VaR) using four different methodologies (Monte Carlo, Historical, Extreme Value Theory, and Analytic VaR). VaRworks also provides cash flow maps, VaRdelta®, and Component VaR for a portfolio of cash and derivative instruments. VaRworks also calculates hedge effectiveness as required by FAS 133. This product supports RiskMetrics® and Euro specifications and reads MakeVC®, RiskMetrics, and custom datasets.

The model supports a wide variety of different VaR technologies, including cutting-edge techniques that allow it to be used safely even in complex markets such as electricity. The variety of methodologies also allows results from different approaches to be benchmarked against each other for increased confidence. The comprehensive output gives the user a complete risk profile for the portfolio, not just a simple VaR value. FEA’s patented VaRdelta and Component VaR techniques allow users to actively manage their VaR position rather than just calculate it.

VaRworks provides extremely fast calculations and includes Excel add-in functions, customizable Excel templates, a sample portfolio, a daily volatility-correlation dataset, and documentation. When installed, VaRworks adds functions to Excel that are used like the built-in worksheet functions, so you can customize the VaRworks templates or create new ones.

View other products from Financial Engineering Associates

StructureTool

StructureTool is a simulation based tool designed to compute values and hedge statistics of user defined exotic and structured products. StructureTool allows users to specify arbitrary payoffs for portfolios containing everything from vanilla options to complex structured products.

ProStorage™

ProStorage™ is a gas storage valuation and optimization tool jointly developed by FEA and HOC. ProStorage is an enterprise application which integrates trade data, market data, and pricing analytics seamlessly into a single user-friendly application.

@ENERGY®/Storage

@ENERGY®/Storage is a set of Microsoft® Excel add-in functions that values storage contracts and provides additional results useful for storage management. Typical users are producers, marketers or traders of natural gas, power generators and storage providers. Typically users of @ENERGY/Storage are operators of storage facilities who want to maximize their value. The model enables users …