var-report

You can calculate Value at Risk using Historical, Parametric, Monte Carlo, and EVT methodologies simultaneously. This generates a comprehensive risk report assessing potential portfolio losses under different statistical assumptions and market conditions.

Yes, you can customize confidence intervals (e.g., 95%, 99%) and time horizons (e.g., 1-day, 10-day) for your VaR analysis. This flexibility allows you to validate model accuracy through backtesting across different regulatory and internal risk management scenarios.

Component VaR provides a detailed breakdown of total portfolio risk by individual position. This identifies which specific assets contribute most to potential losses, enabling precise risk assessment and targeted portfolio adjustments.

Monte Carlo VaR simulation supports regulatory compliance reporting by modeling potential portfolio losses under various market scenarios. It generates detailed reports with backtesting results to validate model accuracy for formal risk assessment submissions.

The best way to generate a comprehensive VaR report is using multi-method calculations with customizable horizons and confidence levels. This produces detailed risk assessments with component VaR breakdowns and backtesting results for regulatory compliance.

Extreme Value Theory (EVT) estimates tail risk more accurately than Historical VaR by modeling extreme market movements beyond observed historical data. This provides deeper risk assessment insights for rare but high-impact portfolio losses.