VaR Module

The Amphora VaR module is a standard Microsoft Windows application which provides an integrated and user-friendly environment for risk management including Value at Risk (VaR) and back testing analysis. The application provides functions of portfolio selection, parameter settings, parameter calibration, Value at Risk (VaR) calculation, back testing, and VaR result reporting tools. This application serves as a risk management tool in energy, commodities, and financial industries.

VaR Manager

Key functionalities

  • Saving and reporting VaR results
  • Calculating Value at Risk of a portfolio of trades or a group of portfolios, or user defined queries using Monte Carlo simulation
  • Back-testing

Key benefits

  • User-friendly risk management capabilities
  • Easy and fast reporting features to keep full track of market risks
  • Fast and accurate Value at Risk (VaR) calculation