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Risk Model Recalibration

In a market that's behaving far from normally, it's no longer safe to rely on normal assumptions when calculating your exposure to risk.

To get a truly accurate risk profile, you need to improve on standard 99% Value at Risk (VaR) calculations by adopting enhanced, multi-factor risk models that use non-normal assumptions. But that in itself presents considerable challenges.

Available data and relationships between markets constantly change, so market risk models age - fast. Risk managers and quantitative analysts face an uphill struggle in creating, constantly re-checking and fine-tuning enhanced risk models.

That's where SAS can help. We take the pain out of multi-factor risk modelling, giving you the power to create a more informed analysis of your true exposure to risk - and keep it up to date.

Case Study

Investment Controlling with SAS®: Identifying, measuring and steering risks.

With SAS Risk Dimensions, we can provide our clients with clear and meaningful risk analyses.

Read full story

How SAS Can Help

We give you the solution to build an accurate, constantly evolving picture of every aspect of your market and credit risk:

  • Improve on VaR: Choose from a wide range of methodologies to enhance your risk modelling, such as sensitivity analysis, profit/loss curve analysis, profit/loss surface analysis, scenario analysis and stress testing, Delta-normal analysis and simulation analysis (including Monte Carlo simulation).
  • Fine-tune your calculations: You have total control over the mathematical functions that go into your risk models, so you can tailor them to the risk profiles of a wide range of financial instruments quickly and easily.
  • Consolidate and interrogate: Gather scattered data in inconsistent formats into a central, controlled environment and dig deep into it.
  • Inter-relate risks for better accuracy: Rather than viewing risks in isolation, use Monte Carlo simulation to meaningfully combine many separately estimated models.
 

Ready to learn more?

Call us at 01628 486 933 (UK) or request more information.

 

 

Questions?

 

Case Study

Investment Controlling with SAS®: Identifying, measuring and steering risks.