Value at risk

Module "Portfolio Service Extended Portfolio Analysis"

Today, professional asset management at banks and insurance companies has come to realize that sensible investment decisions can only be made by consciously taking risks, but that consistent quantification and efficient management of these risks is also essential and is controlled by corresponding supervisory regulations.

With the increasing spread of the methods and procedures required for quantitative risk management and the availability of the necessary computing power on the one hand, and the results of the expert opinions and processes in the area of asset management as a consequence of the extreme losses after and in the year 2000 on the other, risk measurement and the portfolio management derived from it are also becoming more and more important in the area of asset management.

The Infront Portfolio Manager provides you with methods for measuring and monitoring market price risks. The risk is quantified using the currently most widely used risk measure, Value at Risk (VaR).
The following sections first provide a brief introduction and then an overview of the evaluation and reporting options.

In addition to the "normal" value at risk described here, the Infront Portfolio Manager has another variant that forms the basis of many risk evaluations - the Simple Value at Risk.

For a clear presentation of financial mathematics, we would like to refer you to Derivate und Interne Modelle by Hans-Peter Deutsch, published by Schäffer-Poeschel-Verlag, and give you only a brief overview here.