Value at Risk (VaR) is an integrated solution developed by QUANTOS in the frame of the company’s activities in the financial and banking sector. The solution covers all the required estimates for a portfolio (stocks, bonds, derivatives, positions of customers):

• Total value at risk.
• Marginal value at risk of portfolio elements.
• Relative value at risk, as compared with a benchmark portfolio.
• Stress-testing, for the analysis of the potential impact of extreme market changes.
• Back-testing, for the evaluation of the model effectiveness.

The solution is developed in SAS and is particularly flexible and adjustable in order to cover the special needs of an organization, with regard to the modelling, the data management and the production and presentation of the results. The algorithms used reflect the expertise of QUANTOS in the area of Financial Econometrics.