VAR Calculator

What is the VAR Calculator? The VAR Calculator is a Java application that calculates the value at risk (VAR) of a portfolio of investments. The VAR is calculated for the whole portfolio, for specific sectors, such as Mining, in the portfolio and also for individual investments. Both the diversified and undiversified risks are reported, limits are monitored and the historical performance of limits evaluated.

Features

• Java application, runs on most operating systems.
• Imports data, either portfolio balances or historical price information, from flat files, spreadsheets, Metastock data or a database.
• Allows for risk categorisation.
• Calculates diversified and undiversified risk.
• Uses intuitive GUI to adjust VAR calculation parameters, such as critical value or decay rate.
• Scenarios and what-if type analysis via switching on and off exposures or categories of exposures, or changing existing or adding new exposures.
• Set and monitor VAR type limits.
• Evaluate historical performance of limits.

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