Linedata Derivation’s historic VaR simulation offers a firm-wide risk management solution. Tools are provided to automatically collect the historic data required either via snapshots or back filling, with facilities to review and correct data. VaR results may be aggregated across asset classes, with customizable confidence levels and historic date ranges that may be viewed simultaneously.
Two methodologies for historic VaR calculations are provided: point-to-point for highest accuracy, and Greek approximation as standard for rapid calculation. Marginal VaR calculations are fully supported. VaR calculations may be automated and scheduled to run at the end of the day, allowing a report to be generated ready for the arrival of staff the next morning.