Objective: Assess and analyze the market risk associated with a given portfolio of assets.

• Creating market and sector baselines
• Portfolio analytics
• Computing risk metrics for a given portfolio
• Evaluating portfolio betas
• Estimating relative portfolio risk

Objective: Model and simulate the market risk associated with a given portfolio of assets.

• Fitting parametric and non-parametric distributions to market and portfolio data
• Analyzing scenarios generated from distribution models
• Calibrating multivariate SDE risk models
• Monte Carlo simulation and analysis
• Reconstructing, analyzing and reducing data using principal components

Objective: Estimate and interpolate implied volatility curves and surfaces from option data observed in the market.

• Organizing option data
• Estimating implied volatility
• Interpolating volatility curves and surfaces
• Calibrating the SABR model

Objective: Create and analyze risk-oriented GARCH time-series models for the purpose of market risk analysis and simulation.

• Identifying autocorrelation and GARCH effects in time series
• Creating and fitting risk-oriented time-series models
• Modeling distribution tails using extreme-value theory
• Modeling correlated series using copulas
• Simulating from combined models

Objective: Perform market risk analysis by applying filtered historical simulation.

• Performing filtered historical simulation from the residuals of a model
• Automating analysis with bootstrapping

Objective: Assess and validate the effectiveness, performance and accuracy of value at risk and expected shortfall models using formal backtesting on historical market data.

• Preparing risk models for backtesting
• Performing hypothesis tests on predicted output values from risk models
• Summarizing and reporting backtest results
• Running multiple backtests