Service Type: Data Analytics and Quantitive Solutions
Project: VAR Calculation
A client with significant trading and marketing operations in the United States wanted to develop a stand-alone VaR calculation for its U.S. trading subsidiary. The subsidiary was calculating and reporting its VaR according to a methodology designed by its parent. However, the calculation did not represent the specific risks of the subsidiary’s trading and marketing activity.
Approach & Results:
Utilizing our deep understanding of the industry and its VaR framework, we assisted the client with the development of its stand-alone VaR model. The calculation was developed, implemented, and reported on a daily basis providing better analytical reporting to both local trading management and to senior risk managers in the subsidiary’s home country.