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Value at Risk Calculator

Web version: https://apps

Web version: https://apps

Value at Risk Calculator

by VARISKINDO, PT
Value at Risk Calculator
Value at Risk Calculator
Value at Risk Calculator

What is it about?

Web version: https://apps.variskindo.com

Value at Risk Calculator

App Details

Version
1.5 Build 594
Rating
NA
Size
13Mb
Genre
Finance Utilities
Last updated
December 4, 2017
Release date
February 6, 2016
More info

App Screenshots

Value at Risk Calculator screenshot-0
Value at Risk Calculator screenshot-1
Value at Risk Calculator screenshot-2
Value at Risk Calculator screenshot-3
Value at Risk Calculator screenshot-4

App Store Description

Web version: https://apps.variskindo.com

Main Features:
- Add the stocks and currency pairs of your choice
- 2-year historical data from Google Finance
- User-defined portfolio consisting stocks you have added
- View price chart, return chart and volatility chart using Exponentially Weighted Moving Average (EWMA)
- Monitor your portfolio market values, profit/loss, portfolio return, volatilities and VaR figures instantly
- Calculate Standard Normal z-score of Confidence Level, Market Value at Risk (VaR) and Expected Shortfall (ES) using Variance Covariance Method (VCM) based on the chosen confidence level and holding period
- Fitting a GARCH(1,1) model
- Calculate Liquidity-Adjusted Value at Risk (VaR) and Expected Shortfall (ES) based on bid-offer spread using VCM
- Estimate Credit Value at Risk (VaR) and Expected Shortfall (ES) using One-factor Gaussian Copula based on the chosen confidence level and copula correlation
- Estimate Rating Transition Matrix with Cohort and Hazard Rate Approach
- Credit Scores with Logistic Regression
- Compute Operational Value at Risk (VaR) and Expected Shortfall (ES) using Monte Carlo Simulation based on Poisson and Log-Normal distribution
- Run R Scripts for online statistical data analysis
- Live Currency Rates & Gold Price
- Estimate Probability of Default (PD), Copula Correlation & Worst Case Default Rate (WCDR)
- Real-Time Global News
- Fitting of Lognormal Distribution
- Sign-in using Facebook, Twitter or email and password
- Offline Sign-in (email-password only)

Value-at-Risk (VaR) is a statistical technique used to measure and quantify the level of financial risk within a firm or investment portfolio over a specific time frame. It estimates how much a set of investments might lose, given normal market conditions, in a set time period such as a day. VaR is measured in three variables: the amount of potential loss, the probability of that amount of loss, and the time frame and typically used by firms and regulators in the financial industry to gauge the amount of assets needed to cover possible losses.

Expected Shortfall is an alternative to Value-at-Risk that is more sensitive to the shape of the tail of the loss distribution. Expected Shortfall is also called Conditional Value-at-Risk (CVaR), Average Value-at-Risk (AVaR), and Expected Tail Loss (ETL).

By Liila Tech (Mobile Apps PT VaRiskindo)
Email: [email protected]
Web: https://variskindo.xyz
Web: http://liila.xyz

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