Value at Risk (VaR)

Mitigate risks with informed decisions

Consolidate information from disparate sources, including C/ETRM, spreadsheets, and market data providers to create an accurate view of risk. Get insight into market risk and make more informed decisions. Take necessary mitigation measures.
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VaR, what-if scenarios, value at risk

Compute VaR

Compute VaR on portfolio/scenario combination using any of the three methods- Monte Carlo, Analytical and Historical methods.

Calculate component VaR

Perform component VaR calculations based on parameters such as strategy and profit center.

Simulate market scenarios

Simulate multiple ‘what-if’ scenarios to predict the potential impact of price shocks and ‘what-if’ trades on VaR.

Deep dive

Identify correlations and volatility between different market curves, interest rates and exchange rates to gain deeper insights into market risk.

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