Investment Risk Management Component
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Add risk assessment, actuarial calculations and simulations to your .NET Applications. Investment Risk Management (IRM) Component is a .NET component containing a set of API calls to create and estimate the risk of an investment portfolio. Investment portfolios can be as simple as one investment with a single starting value, or a set of investments dependent on each other (defined as correlation matrix), with many future cash flows in each of them. You can create continuously rebalanced portfolios (portfolios, maintaining constant proportion between assets), or a set of independent investments.
Investment Risk Management Component -Contains Monte Carlo & Risk Analysis.
Risk assessment may be the most important step in the risk management process, and may also be the most difficult. A risk with a large potential loss and a low probability of occurring must be treated differently than one with a low potential loss but a high likelihood of occurring. Investment Risk Management (IRM) is a .NET component containing a set of API calls to create and estimate the risk of an investment portfolio. Investment portfolios can be as simple as one investment with a single starting value, or a set of investments dependent on each other (defined as correlation matrix), with many future cash flows in each of them. You can create continuously rebalanced portfolios (portfolios, maintaining constant proportion between assets), or a set of independent investments. As with other forms of risk, market risk in the portfolio may be measured with the IRM component in a number of ways.
Here are a few examples:
- Traditionally, this is done using a Value at Risk (VaR) methodology. You can use VaR methods in component's math routines for static portfolios or portfolios simulated with Monte Carlo methods.
- Conditional Value at Risk (CVaR) method or tail expectations is an enhanced method of risk analysis. It is an average value of the investment in a given worst case scenarios defined as probability.
- Risk at Value is an inverse of Value at Risk method of risk calculation. Here, instead of defining acceptable risk level (as probability), you define a goal value of the investment, and then analyze the chance (probability) of reaching that value.
- Stop-loss reinsurance methods protects its holder that a market value of the portfolio will not be less than a certain amount (guarantee).
- Monte Carlo methods are used to value and analyze basic financial models such as portfolios and investments by simulating the various sources of uncertainty in market development, and then determining their average value over the range of resultant outcomes.
