VOR Market Risk
When time is of the essence.
Real-Time Insights into Portfolios Exposed to Markets
VOR Market Risk is built to measure the risk of portfolios that are impacted by global market movements. Whether you operate in energy, commodities or asset management, VOR Market Risk delivers insights in time for you to take informed action.
VOR Market Risk Delivers:
-
Profit/Loss Projections
-
Value-at-Risk (VaR) Calculations
-
Tail Risk Measurement
-
Exposure Aggregation
-
Attribution to Risk Drivers
-
Stress Testing and What-if Scenarios
-
Marginal VaR
-
“What-If” Scenario Analysis
Benefits
Risk Views Across All Market Conditions
Valuate and aggregate your positions at current, predicted, or stressed market prices, so you can see your risk top-down, bottom-up, and every level in between.
Sophisticated Scenario Modeling
Generates future and stressed market states through several approaches, including delta-normal, historical, covariance-based Monte Carlo simulation and even General Adversarial Networks (GANs) for advanced scenario analysis.
Seamless Integration
VOR Market Risk integrates with multiple third-party libraries and programming languages, so you can keep the risk factor models, pricing functionality, and transformations that are already working for you.
Flexible What-If Portfolio Analysis
Include hypothetical positions or entire portfolios for analysis, benchmarking, and optimization.
Real-Time Risk and Limit Monitoring
VOR Market Risk runs automatically and on-demand which enables you to know your risk and monitor your stop-loss and VaR limits in real time.
Regulatory Compliance Made Easy
And if you are subject to trading book (FRTB) or counterparty credit risk (CCR) regulation, VOR Market Risk can be extended to help you comply.
FAQ
Frequently Asked Questions
Is VOR Market Risk out-of-the-box or custom-built?
VOR Market Risk comes with out-of-the-box functionality—the simulation engine, the tools, and the most common streams/processes—which in an implementation will be customized to you.
Customization usually entails integrating with your data sources and destinations, designing dynamic and static reports, modifying the UI to your specific needs, and setting up access and user management to your requirements.
FRG can also provide help with new stream/process or model development (e.g., valuation or risk factor models).
Is VOR Market Risk hosted on-premises or externally?
Whichever you prefer.
How does VOR Market Risk compare to other industry standard applications?
FRG is proud to say that VOR Market Risk has the advantages of standard ETRM/CTRM applications and also can leverage your specific IP to the fullest extent.
Is VOR Market Risk a stand-alone application?
VOR Market Risk is a cloud-native web-based stand-alone application.
How does VOR Market Risk access, use, and store our data?
All VOR data—ingested, application-generated and -used, and output data—is stored in VORs filesystem and database(s) which all belongs to you.
Can we modify, expand, or enhance VOR Market Risk independently?
Yes. The VOR Market Risk UI is designed to give the business user maximum flexibility when it comes to configuring, changing, and expanding the functionality.
In addition, VOR Market Risk comes with access for implementation for building new streams/processes or combining existing processes into new streams.
Build. Run. Illuminate.
VOR Market Risk is part of the VOR Risk Intelligence Suite. Contact us to learn more about how this suite of innovative modules can help guide your decision-making regarding risk management, efficient trading, and operational scale.