Quantstar’s risk estimation models can be used to generate a wide variety of risk reports necessary for internal controls and to meet regulatory reporting requirements.
▶ VaR: These reports will estimate the worst case loss over a specified horizon for a given confidence level. Typically the horizon may be 1 day to 1 month with a confidence level of 90 % 99.9 %. These reports will provide portfolio risk concentrations and can also compare VaR against pre-specified limits. The reports can be organized by a number of parameters including: asset type, country/region, maturity or duration band, instrument type or counterparty.
▶ Relative VaR: This report will provide the risk measures vis-à-vis a pre-specified benchmark in terms of absolute base currency amount or as a percentage.
▶ Marginal VaR: This report is particularly useful for identifying and quantifying risk concentrations by measuring marginal contribution to portfolio risk. This can be plotted against VaR.
▶ Customized Reports: Depending upon individual requirements, additional reports can be developed from the available data.