EC-VaR :: OVERVIEW

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.