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VALUE AT RISK (VAR) CALCULATION

We offer VaR calculation as a managed service
Save time reviewing the reports instead of producing them yourself

If you are subject to risk monitoring regulation (UCITS, AIFMD, FRTB, Basel), you may be interested in benefiting from outsourcing VaR computation. We offer VaR calculation as a managed service allowing our clients to save time and money. Our risk advisory and valuation specialists are able to onboard any type of portfolio.

We propose a holistic service starting from portfolio template to risk report. An expert will accompany you on the entire journey. 
We apply several methodologies of VaR calculation: Monte Carlo normal or Variance Gamma as well as historical VaR.

How does Finalyse address your challenges?

Client support

A team of consultants is available every day to follow up on requests from clients. We have developed our own methodology and databases, which allows us to propose solutions for any type of portfolio.

Daily VaR calculation

Several types of VaR (Montecarlo, Variance Gamma Montecarlo, Historical), together with all related indicators: CVaR, IVaR, expected shortfall.

Valuation

Thanks to our experience in valuation, you can benefit from a joined service of valuation and risk measurement for portfolios invested in complex products.

Personalised services

We provide customised delivery formats and affordable pricing.

Regulatory Compliance

UCITS and AIFMD compliant model.

Daily stress tests computation

Stress tests are complementary to VaR.

To get all your questions answered
Contact us

How does it work in practice?

 

 

Key Features

  1. Monte Carlo and historical VaR report daily with all related indicators (CVaR, IVaR, Expected shortfall).
  2. Backtesting monitoring and follow up in case outlier.
  3. Tailor-made stress tests framework elaboration and daily reporting.
  4. Full dedicated report design.
  5. Daily support.
Marc-Louis Schmitz
Partner

Marc-Louis Schmitz, Partner at Finalyse and member of the executive committee, is the founder of the independent valuation services business line.
He oversees operations, team management, and strategic development.
Known for fostering an inclusive, growth-oriented work environment, he supports a skilled team dedicated to mastering complex valuation processes, models, and best practices.
With a strong background in valuation, risk modeling, and regulatory compliance, Marc-Louis has expanded Finalyse's managed services to meet evolving regulatory and client needs.

Régis Deymié
Principal Consultant

Régis, Principal Consultant experienced in risk management within the banking and fund industries, has significant expertise in heading asset management companies. He is well acquainted with Basel 3, AIFMD, UCITS and MiFID regulations. Thanks to his experience, Régis has developed Finalyse’s specific offer in the independent valuation and risk management process set up for the fast-growing private equity funds industry sector. Before joining Finalyse, Régis was a Vice President / Head of Risk Management in a mutual investment fund. He was in charge of developing the risk management process and was a contact person for regulators concerning all Risk Management related issues.  

Pedro Oliveira
Consultant

Pedro has contributed to developing a new valuation tool in Python for the valuation of structured products, OTC derivatives, risk measures, and sensitivity measures. He is responsible for maintaining and developing new functionalities of Finalyse tools, such as the VaR tool.

Pedro gained extensive experience as a Business Analyst building and enhancing software to calculate credit risk and counterparty credit risk.

Client Cases

MANAGEMENT COMPANY

A Luxembourgish Management Company has under its responsibility a set of UCITS and AIFs sub-funds that needs to have a daily computation of VaR and corresponding stress tests. VaR is normally required for complex strategies (involving extensive use of derivatives for example) but the Management Company has chosen to compute the VaR for all sub-funds regardless of the obligation towards the regulator. This provides a global unity among sub-funds’ risk management process and gives an additional tool for the risk management department to monitor and compare the market risk of each portfolio. The VaR computation is coupled with a specially dedicated stress testing framework meant to complete the global risk picture of each portfolio.

Finalyse Insurance

Finalyse offers specialized consulting for insurance and pension sectors, focusing on risk management, actuarial modeling, and regulatory compliance. Their services include Solvency II support, IFRS 17 implementation, and climate risk assessments, ensuring robust frameworks and regulatory alignment for institutions.

Finalyse Banking

Finalyse leverages 35+ years of banking expertise to guide you through regulatory challenges with tailored risk solutions.
Our multidisciplinary team masters both technical and regulatory aspects, helping you adopt best practices and boost performance.

Finalyse Valuation

Valuing complex products is both costly and demanding, requiring quality data, advanced models, and expert support. Finalyse Valuation Services are tailored to client needs, ensuring transparency and ongoing collaboration. Our experts analyse and reconcile counterparty prices to explain and document any differences.

Finalyse Publications

Discover Finalyse writings, written for you by our experienced consultants, read whitepapers, our RegBrief and blog articles to stay ahead of the trends in the Banking, Insurance and Managed Services world

About Finalyse

Our aim is to support our clients incorporating changes and innovations in valuation, risk and compliance. We share the ambition to contribute to a sustainable and resilient financial system. Facing these extraordinary challenges is what drives us every day.

Finalyse Careers

Unlock your potential with Finalyse: as risk management pioneers with over 35 years of experience, we provide advisory services and empower clients in making informed decisions. Our mission is to support them in adapting to changes and innovations, contributing to a sustainable and resilient financial system.