CVaR Expert - Special Build is a total solution for measuring, analyzing and managing portfolio risk using historical VaR and CVaR methodologies. Traditional Value-at-Risk, Beta VaR, Component VaR and Conditional VaR modules are incorporated on the current version, which lets you work with individual assets, portfolios, and asset groups. An integrated optimizer can solve for the minimum CVaR portfolio based on market data and investor preferences, offering the best risk benchmark that can be produced.
A module capable of doing Stochastic Simulation allows you to graph the CVaR-Return space for all feasible portfolios.
With CVaR Expert - Special Build, you can create, save and load single currency portfolios with great versatility.
CVaR Expert has been completely written in Delphi and is a stand-alone application. No additional software or external libraries are needed. A a result, extremely fast and robust computations can be done with outstanding stability.
CVaR Expert - Special build can process up to 10 assets and 500 data points. The package includes complete on-line help.
Risk Methodologies Covered
VaR (Value at Risk) is an estimate of how much a certain portfolio can lose within a given time horizon and at a given confidence level (error probability). CVaR Expert calculates absolute VaR and VaR relative to mean (expected return).
Component VaR: Or marginal VaR is calculated by estimating the portfolio VaR before and after including an asset. Let CVaR Expert manage the asset weights. The main advantage of the Component VaR approach versus conventional VaR is that it may produce a very clear analysis of overall risk .
Beta VaR measure quantifies the risk contribution of one asset to the portfolio VaR. The Beta coefficient estimates the sensitivity of the single asset return to changes on the market or portfolio return.
VaR and CVaR Simulations: CVaR Expert computes VaR and CVaR over different horizons and displays graphs with tables showing returns and expected losses for several periods. In addition, CVaR Expert simulates the evolution of VaR and CVaR over the history of you portfolio.
Histograms: CVaR Expert shows clear return histograms of every asset, portfolio assets, VaR and CVaR (showing the expected losses zone). This information may be exported to other programs and used as the base of risk reports.
Optimization: CVaR Expert features a numerical optimization module that can find the portfolio with the minimum CVaR measure, even for large portfolios. This way, you can always count with an unbeatable risk benchmark.
CVaR-Return Stochastic Simulations: CVaR Expert allows you to explore the space that contains the combinations of Risk (measured by CVaR) and Return of every feasible portfolio. A crosshair indicates your current position, so you can really know how your portfolio is performing compared to the global optimum. |
