Solutions Tailored for You
Whether you're an institution, fund manager, or advanced trader, we’ve got the tools you need.
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Institutions: Streamline portfolio risk management with advanced models and customisations for your needs.
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Fund Managers: Gain actionable insights for better decision-making.
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Advanced Traders: Manage volatility and maximise returns.
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Crypto Startups: Build robust risk strategies for sustainable growth.
Discover Your Portfolio's Risk with Precision:
Advanced Value at Risk (VaR) Modelling
Set up your portfolio below by entering both long and short positions in dollar ($) value. Once your portfolio is complete, choose the frequency for your Value-at-Risk (VaR) calculations—daily, weekly, or monthly. Finally, specify the confidence level for your VaR estimation to generate precise risk insights tailored to your needs.
Understanding VaR and EL Metrics
The Value-at-Risk (VaR) metric estimates the maximum potential loss of a portfolio at a given confidence level over a specified period. It answers the question: What is the worst-case loss we might expect under normal market conditions? Meanwhile, Expected Loss (EL) quantifies the average loss in scenarios where the loss exceeds VaR, providing a deeper insight into tail risks.
Selected Model: EWMA with Cornish-Fisher Expansion
The chosen model, an Exponentially Weighted Moving Average (EWMA) with a Cornish-Fisher expansion, offers enhanced risk measurement by incorporating skewness and excess kurtosis into the standard VaR calculation. This allows for more accurate modelling of non-normal returns, particularly in highly volatile or asymmetric markets.
Why This Model?
This model outperformed others in a rigorous comparison based on accuracy, responsiveness to market changes, and computational efficiency. For more details on the model selection process and benchmarking, refer to the paper: Comparative Analysis of Risk Metrics for Long/Short Portfolios