The RiskAPI Add-In: Value at Risk In Excel
Easily Generate Value at Risk (VaR) calculations in Excel
The RiskAPI Add-In is an installable Excel software component that allows spreadsheets to communicate with the remote RiskAPI (Risk Application Programming) service. The Add-In seamlessly integrates with Excel to allow users to execute Value at Risk (VaR) calculations on multi-asset positions and portfolios in the Excel environment.
Data, Computing Power, and Analytics Included
Users download and install the RiskAPI Add-In installation package. After running the setup program, an extra menu, a set of worksheet formulas, and a collection of VB macros are added to the Excel environment.
Users can then make calculation requests on portfolio symbols and quantities (such as stock tickers, option symbols, and futures contract codes) to generate a whole range of risk analysis calculations such as Value at Risk, volatility, correlation, and more. The Add-In communicates securely with the remote RiskAPI service which includes all the historical data, computing power and mathematics needed to generate risk calculation results.
The RiskAPI Add-In works within the Excel environment which means you can quickly set up a risk infrastructure for your fund: download positions from your prime broker, administrator, OMS, or accounting system into a spreadsheet and you are ready to calculate Value at Risk in Excel- no back-office integration necessary!
Available Analytics Include:
- Multi-model Value at Risk (VaR) - Volatility based, Delta-Normal, Historical Simulation, Decayed Historical Simulation, Monte Carlo and more.
- VaR decomposition - coherent, sub-additive component VaR, as well as Marginal VaR and Incremental VaR.
- Expected Tail Loss (ETL/Conditional VaR) - analysis of tail events/tail loss.
- Advanced volatility analysis - EWMA volatility, as well as GARCH.
- Sophisticated Options Analytics - Sensitivities (all "greeks", as well as on-the-fly implied volatility calculations).
- Correlation & Covariance Matrix analysis.
- Stress-testing - hypothetical index moves, underlying asset shocks, volatility spikes, and historical scenario analysis.