Generate Value at Risk (VaR)

Estimate the impact of large future changes on the value of portfolios or single positions.

Risk Modeling

Model Value at Risk (VaR) in Parametric, Historical Simulation and Monte Carlo.

Stress-Testing

Apply hypothetical shocks to portfolios to understand behaviors under extreme market conditions.

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What can Risk Reporting do for you
Generate Value at Risk (VaR)

Deliver sophisticated portfolio risk analysis.

Better understand your downside risk and identify the products contributing more significantly to your margin requirements and ensure you have the right capabilities to independently verify your margin requirements.

Theorem’s Risk offering allows users to generate Value at Risk (VaR) analytics at the position or portfolio level with a full array of benchmarks, and customizable look backs, time horizon, and lambda settings.

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Shock your portfolio

Assess market impact.

Shock a portfolio in one or multiple of the following ways:
Spot: Impact where underlying instruments increase / decrease by a percentage or standard deviation
Volatility: Impact where changes in volatility are applied to position (only applicable to portfolios containing options position)
Index: Select and adjust global index products to determine impact by swings

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