One position view
Physical cargoes, storage, swaps, futures and options are mapped to the price factors they depend on, across every book.
Commercial & trading analytics
Value-at-Risk (VaR)
Value-at-Risk answers one question for the whole portfolio: over a set period, and at a chosen confidence level, what is the most we would expect to lose in normal markets? We calculate it across physical and paper positions, explain which positions drive it, test how often it has been exceeded, and pair it with stress scenarios for the conditions VaR does not cover.
Typical first version
8 – 14 weeks
Stated as a range. The two-week assessment narrows it.
The problem
Where it hurts today
- Risk is measured book by book, and nobody sees the total until month end.
- The VaR number is reported but nobody can explain why it moved.
- There is no record of how often actual losses broke through the limit.
Data we bring together
- Physical and derivative positions
- Price history for every risk factor
- Volatilities and correlations
- Contract terms and delivery schedules
- Currency exposures
- Risk limits and appetite statement
How Azico builds it
Four stages, each one usable on its own
VaR methods
Historical, parametric or Monte Carlo VaR, chosen for your portfolio, at the horizon and confidence level in your risk policy.
Explain and attribute
Each day’s VaR is broken down by book, product and risk factor, with what changed since yesterday.
Backtests and stress
Actual results are compared with VaR to count exceptions, and stress scenarios show losses in markets far outside normal conditions.
What your team sees
- +Daily VaR for the portfolio and each book
- +What drove today’s change in VaR
- +VaR against limits, with breaches highlighted
- +Backtest exceptions and stress-test results
Questions it answers
- “What could the book lose over ten days at 99% confidence?”
- “Which position added most to risk today?”
- “How often has our VaR been exceeded this year?”
What we need from you
- Position data from your trading system
- Price history for the products you trade
- Your risk policy: horizon, confidence, limits
- A risk manager to sign off the method
Commercial & trading analytics
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Azico Analytics is a Bangalore-based team of experienced data professionals. Share how your data is managed today, how your reports are produced and the challenges you face. We will assess your requirements objectively and set out where we can add value, with a practical approach tailored to your business.