Value at Risk

LexiFi Apropos reduces what was once a matter of hours in a few seconds.

VaR analysis is available for each contract, for a selection of contracts or for a position and it can be triggered in batch mode to automate the process.

Contracts are priced using a number of different scenarios where each scenario modifies the current market data for the contract underlying spots and volatilities by applying shocks inferred from observed market changes. Volatility shocks are applied to all volatility data (constant volatilities, term-structured curves and smiled surfaces). Value at Risk, Tail-VaR, P&L distribution and details on scenarios are available for inspection. The generated distribution of P&L vs shocks can be viewed both graphically and in charts.

Use the Fast-VaR mode to drastically speedup calculations on a portfolio of contracts by iteratively selecting computation scenarios that will be needed.

Video 1: Computing VaR for a contract

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Figure 1: Value at Risk analysis and P&L graph

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Figure 2: Value at Risk analysis and P&L vs shock factors chart

Video 2: Computing VaR on positions

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Figure 3: Position Value at Risk analysis

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