The Monte Carlo Statistical Method is incorporated into our FINANWARE™ VaR module

As an addition to our  FINANWARE® products suite, we have integrated into our Value at Risk (VaR) module the Monte Carlo simulation method designed to project returns and estimate prices based on iterative scenarios. Among the versatile features of this method are: the capability to select the type of distribution of the returns/prices series, factoring through the Cholesky method, etc. Furthermore, it is now possible to apply the VaR for currency portfolios by enabling the use of the exchange rate series volatility to calculate the value at risk. This method was designed in compliance with international market standards.

The Monte Carlo method as well as the Currency VaR will be released as a complementary feature this year and it is cost-free for all the users who acquired the FINANWARE® VaR module  and maintain an active maintenance contract.

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