This program implements Conditional Value-at-Risk, BetaVaR, Component VaR, traditional VaR and backtesting measures for portfolios composed of stocks, currencies and indexes. An integrated optimizer can solve for the minimum CVaR portfolio based on market data, while a module capable of doing Stochastic Simulation allows to graph all feasible portfolios on the CVaR-Return space.

EC-VaR employs a full-valuation historical-simulation approach to estimate Value-at-Risk and other risk indicators and is designed as a personal and learning tool. If you need a corporate-level solution for insurance companies, investment funds or banks you may consider the CVX platform.

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VaR Calculation  Component VaR Decomposition 
Beta VaR  VaR Evolution 
CVaR Optimization 

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