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VaR - Value-at-Risk
Calculating Value-at-Risk (VaR) is key to any comprehensive risk and balance sheet
management strategy.
Integrated with our enterprise risk management platform, which incorporates credit, market, and operational risk as well as balance sheet management, Fermat VaR delivers a comprehensive VAR solution. Fermat VAR calculates risk over a wide range of market risk factors, such as interest rate risk, foreign exchange risk, equity risk, commodity risk and volatility risk.
Comprehensive Value-at-Risk Solution
Market risk capital requirements in full compliance with Basel II can be easily calculated. Fermat VAR offers powerful stress testing capabilities to predict risk under severe scenarios. In addition, Fermat VAR provides:
- Consolidation of a bank’s risks on a single platform with aggregate results that are computed in parallel with other systems
- Global VaR measure of the portfolio with specific risk factors – VaR incremental and component marginal VaR
- Optimized variance techniques such as variance reduction and sensitivity-based pricing
- Extensive coverage of trading room and banking book financial instruments
- Estimation of VaR using either parametric models (Asset Normal approach) or simulation models (Monte Carlo or Historical scenarios).
