Case Studies

Challenge Most people are initially shocked by the expense of implementing and maintaining a commercial market risk system. It is not uncommon for this expense More...…

Challenge Risk reports can take hours to run if not efficiently designed. Often the same risk statistics are computed for the same securities several times More...…

Challenge Typically, VaR and Expected losses are computed on a limited set of hierarchies and confidence intervals. Making changes to these can be difficult due More...…

Challenge Asset allocation decisions can have significant impacts on portfolio risk. These decisions are often made in response to quickly changing market conditions but risk More...…

Challenge Validating risk models is one of the most painstaking tasks confronted during an implementation. There is often more than one risk model for any More...…

Challenge Each time new security types are added to a portfolio, risk managers need to decide what risk model to use, configure that model with More...…

Challenge Computing non-additive statistics (VaR, Expected Shortfall and Std Deviation) on portfolios requires aggregating simulated returns from the position level. In order to compute VaR More...…