In the musical film The Little Shop Of Horrors Seymour, working in a flower shop, finds a very mysterious undefined plant (from another planet?), which he calls Audrey II. And this is where the fun and the trouble begins. Audrey II makes the flower shop a flourishing hot spot and Seymour something of a celebrity.
"I need some water in the worst way", Audrey II said at the beginning. But as it grows and grows Audrey II also get hungrier and hungrier. And unfortunately, its idea of plant food isn't different from Dracula's notion of a one-course meal. Audrey II, begins to grow, attracting attention but also exhibited an appetite for human blood.
The owner of the shop and his co-workers had a sort of fame thrust on them that is usually reserved to lottery winners. They wanted to exploit the wonderful plant, others wished it no good ...
We entered into the quant finance business with the vision to improving valuation accuracy and robustness by better solvers for the most attractive models. On the exciting journey we discovered a lot of model&method risk and how to avoid them. Also that valuation and risk management must be treated with equal sophistication and suspicion.
And we clearly saw the importance of what-if analysis by .. across scenario valuation, which drove us to make or valuations engines grid-enabled, organized instruments and scenarios in groups and orthogonally to models and methods and tied all together to the UnRisk FACTORY.
Then we created the VaR universe, not as a simple measurement, but a tool of risk management that needs to be complemented by all types of tests, including stress tests by assessing losses that result from unlikely but realistic conditions (described in static and dynamic sets of scenarios - speed and magnitude of events, .... StressVaR might be computed by using data from stressed periods or synthetic ones).
We always provide foundations and tools to stretch and expand the universe in the current release, but we also stretch and expand the universe for future releases, by closing the feed-back loop with our costumers.
On the journey from inside-out it became clear that the little horror induced by, say, fail-to-see a dramatic jump in a volatility surface, ... tends to grow.
