8-Apr-11, UnRisk took its comprehensive VaR module on top of UnRisk-Q to quant developers in financial institutions.
UnRisk VaR Universe is built on top of UnRisk-Q that is offered to quant developers as the culmination of the co-evolutionary development of the bank-proof UnRisk PRICING ENGINE and UnRisk FACTORY. It is positioned as a module that produces informationally rich input for the risk management process. VaR can be calculated across the major methods - historic, parametric and Montecarlo - and a vast variety of risk factors. The calculations produce a cube of VaRs spanning the portfolio VaR, into individual, component and composite VaRs providing a deeper understanding of sources and impact of different risk factory.
UnRusk-Q and its VaR Universe provide a high level domain-specific language in the Mathematica environment. Programming individual risk management processes takes unprecedented low efforts.
The instant solvers of the pricing and calibration engines are numerically optimized in C++, blazingly fast and robust. They are seamlessly integrated into Mathematica and thus called from the high level programs.