Market Risk Analysis (Censrisk™)

Computation methods

The system provides two main types of computation methods:

Local valuation:

Ÿ  Simple moving average of variance and covariance

Ÿ  Exponential moving average of variance and covariance

Ÿ  Weighted moving average of variance and covariance

Ÿ  GARCH modeling of variance and covariance

Ÿ  IGARCH modeling of variance and covariance

Ÿ  TGARCH modeling of variance and covariance

Ÿ  Multifactor analysis

Full valuation:

Ÿ  Historical simulation method

Ÿ  Monte Carlo simulation with GBM or the Vasicek Interest Rate Model

Other features:

Ÿ  Conditional Value-at-Risk (CVaR)

Ÿ  Fixed asset portfolio backtesting

Ÿ  Stress testing

Ÿ  Daily asset portfolio backtesting

Ÿ  Binomial tests

Ÿ  Likelihood-ratio tests

Ÿ  Statistical hypothesis testing