Shhh, the New VaR Universe is Coming

In a month, we will take our new VaR module, on top of UnRisk-Q 4.1, to quant developers in financial institutions.
As outlined in VaR of the Jungle it will calculate cubes of VaR that are possible inputs for an advanced risk management process.

Because VaR is not the end, but the beginning of this process, the front-end is a declarative programming language that
  • "speaks" simple instruments, derivatives, structured products, portfolios, risk factors, VaR methods, scenarios, .. 
  • provides valuation (with instances, like taylor series expansion), principal component application, parallelization, ... as generic interfaces for all type of financial objects 
  • organizes the output of VaR calculations orthogonally - portfolio, individual, component, composite VaRs
The programming type is Mathematica, a flexible symbolic langage. UnRisk-Q, and consequently the VaR universe, also exploit software development tools from Mathematica 8.
The valuation and calibration engines are numerically optimized in C++. They are ultra-fast, but accurate and robust. Blazingly fast by sophisticated numerical schemes, built-in parallelization and symbolic parallelization schemes.
Due to the domain specific nature of the language, programming individual risk tests should take unprecedented low effort and consequently, UnRisk-Q+VaR universe's return-on-invetsment period will be very short and several deployment forms are supported for desktop to SaaS/web platform developers.