Kiodex Risk Workbench At-Risk Reporting Tools
Historically, if you were interested in seeing general indicators of your overall risk exposure you may have focused only on the Value-at-Risk (VaR) report. Kiodex provides At-Risk Reporting Tools that combine the traditional VaR report with the Cash-Flow-at-Risk Report (CFaR). This combination will allow you to not only report on a "single-figure" of risk, but also report on the probability that your company will have sufficient cash to service its debt over a specified period of time.
To help ensure proper modeling of the commodity markets, the KRW At-Risk Reporting Tools use Monte Carlo simulation calculations that are consistent with the stochastic mean reverting models of our forward curves. This approach captures portfolio nonlinearity better that the more commonly-used corrected parametric approach.
Benefits
- Runs a standard VaR or CFaR report on any book or portfolio or on their master portfolio. You can also run a VaR or CFaR report as of a date in the past without including trades posterior to the as-of-date.
- Views Incremental VaR or CFaR for a given level of granularity on the report; i.e. on the trade, book, portfolio or meta-portfolio level.
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