A fresh take on risk and valuation

Value at Risk (VaR) calculation

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.

Your challenges

  • The model must be validated by an external party.
  • Your data management system is not scalable to handle the necessary records.
  • Time, staff, and engine resources are limited.

Our offer

 

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.

Why outsourcing VaR calculations to Finalyse?

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.
 

Typical deliverables

Monte Carlo and historical VaR report daily with all related indicators (CVaR, IVaR, Expected shortfall)
Backtesting monitoring and follow up in case outlier
Taylor made stress tests framework elaboration and daily reporting
Full dedicated report design
Daily support

Selected client cases

Management Company

Our client is a Luxembourgish Management Company having under its responsibility a set of UCITS and AIFMD sub-funds that needs to have a daily computation of VaR and corresponding stress tests.