Value at Risk Calculations


#1

Hi,

We have used the OG-Platform as an Analytics library and the Math library even more heavily.

Keen to know if a Historical or Monte Carlo Simulation VaR measure is planned in Strata in the near future?

Best regards,
Sanjeev


#2

Hi,

In some sense, it is an Aggregate Measure on say PRESENT_VALUE and thus is built in and there are multiple classes for achieving HS and MC VaR.

Thank you.

Best regards,
Sanjeev


#3

We have some VaR calculations in our private repositories for margining that build on Strata. We may add it to Strata, however it may depend on commercial considerations on our side. Hope that helps.


#4

I would be very interested in the Monte Carlo Simulation too as i want to start a new project on risk analysis (Risk Register). It would be a great icing on this beautiful cake… any chances it wud be in v1.0?


#5

We are working on a Historical Simulation around the Strata core. So far, our layers along with joda-marketrisk are scaling up very nicely.


#6

Hi guys - you might be interested in the CdsScenarioExample that we just added to strata-examples. This shows how random perturbations can be used with scenarios to calculate VaR, so it’s a very simple Monte Carlo example.


#7

Thus great i will take a look at it.