| Oberon’s
VaR module is not simply VaR measurement tool. It is designed
to allow VaR to be managed proactively by providing tools to identify
trades, sub-portfolios and/or risk factors making large contributions
to VaR.
Provides six VaR calculation methodologies:
- Extreme Value Theory (EVT) - an alternative
to the traditional VaR methods, supported by several exploratory
tools
- Variance-CoVariance (VCV)
- Historic simulation
- Monte Carlo simulation
- Hybrid Monte Carlo: a combination of
VCV and the Monte Carlo methods
- Hybrid Historic: a combination of VCV
and Historic Simulation
Extensive Reporting
Oberon VaR allows you to adapt your reporting, as market
and/or regulatory pressures dictate. It has powerful reporting
facilities, drawing on results and intermediate values stored
in a relational database. Additionally, trades can be included
from third party systems if required.
‘Drill-Down’
Full 'drill-down' capability to individual trade level (and for
VCV, to the individual risk factors and cashflows).
Compliance
Oberon VaR meets external regulatory requirements on internal
models as required by the European Capital Adequacy Directive
and the BIS. |
