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.