Risk Measurement and Analysis

“Risk is the potential that a chosen action or activity (including the choice of inaction) will lead to a loss (an undesirable outcome). The notion implies that a choice having an influence on the outcome exists (or existed). Potential losses themselves may also be called ‘risks’. Almost any human endeavour carries some risk, but some are much more risky than others” (wikipedia.org).

In finance, we express risk in terms of expected price volatility. We dissect financial instruments into observable risk factors and then estimate projected price movement using statistical methods (such as Value at Risk) and qualitative methods (such as stress testing).

At Value & Risk, we offer our clients risk assessment and analyses services, whether for a single security or an entire portfolio, using state-of-the-art methods and models. Our risk calculation methods reflect our understanding of pricing complexity. Our methods are continuously being updated according to clients’ needs and financial industry standards.

Some of the services we provide in this area include:

• Value at Risk (VaR) calculation for all asset types using historical, parametrical or Monte Carlo methods
• Stress testing based on taylor made stress scenario concepts
• Greeks and sensitivities calculation
• Special reporting, such as comparable portfolios (non-derivative portfolios).

Being a service company, we perform the calculation in our own models based on our customer's needs. All we need from our customers are the static data or ISINs and the risk-management requirements. From there on we take care of all steps providing our customers with current daily risk reporting.