If you are subject to risk monitoring regulation (UCITS, AIFMD, FRTB, Basel), you can benefit from outsourcing VaR computation. We offer VaR calculation as a managed service. Save time reviewing the reports instead of producing them yourself. Our risk advisory and valuation specialists will help you to onboard 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.
Daily stress tests computation
Stress tests are complementary to VaR.
Client support
A team of consultants is available every day to follow up on requests from clients.
Finalyse developed its own methodology and databases, which allows us to propose solutions for any type of portfolio
Regulatory Compliance
UCITS and AIFMD compliant model.
Finalyse proposes 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. This service is
broadened by a related stress tests framework, customised delivery formats and affordable pricing.
Thanks to our experience in valuation, you can benefit from a joined service of valuation and risk measurement for portfolios invested in complex products.
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.