FINCAD Analytics gives you the analytics and tools to build VaR analysis capabilities into your systems. FINCAD VaR analytics include functions for calculating Value-at-Risk using the variance/covariance approach. Functions will calculate your current Value-at-Risk (VaR) at a specified time horizon and a confidence interval.
- calculate component VaR
- calculate linear VaR from mapped cashflows
- calculate volatility and correlation matrices
- map cash flows to pre-defined risk points
- rebase volatility and correlation data to a different currency
