VaR Calculation Software??

Hello Everyone,

I am new to this site so am not sure if I am posting this thread in the right place but here goes. I am working on a project in my summer job to try and find suitable software or other method of VaR calculation for the small firm.

The company operates in Forex trading and wishes to use the product primarily as an indication to investors rather than themselves, the key requirement to them is automation possibilities leading to minimal time input, it is not large enough to have someone employed specifically for VaR calculation.

The firm is looking to spend no more than £5000, however I have been researching and found that the more automation involved, generally the higher the cost as with many ASP’s.

I am currently looking at LMT’s Expo, I was wondering if anyone had any experience, good or bad with this product or any others in this price range that can produce Daily VaR numbers for bulks of FX trades in many exotic currencies relatively quickly.

Any advice would be much appreciated; also if I have put this up in the wrong place could someone point me in the right direction.

Thanks for your time,

Jim

 

I used to have riskmetrics but I guess it is really expensive. Bloomberg can calculate a VAR as well if you already have a terminal

 

yer, Riskmetrics quoted me approx $90000 per year, this is far beyond the budgets accounted for here, I will look into Bloomberg tho, thanks.

 

http://www.lmt-expo.com/lmt/products/Risk.asp

I haven't worked with the risk add-in, but you're not going to find anything better -- expect to pay a lot more for automation/dbase integration. Riskmetrics is absurdly-priced -- you're paying for scalabilty.

 

as riskmetrics is aimed at hedge funds it's no surprise it's expensive. THe last hedge fund I worked for negotiated a good deal as they were always helping to test their new models. The asp solution they offer though is pretty dire and requires a lot of work to automate. THat said ... it's still more user friendly and a lot cheaper than algorithmics

 

Jim86,

There is Var and there is Var, and then there is everything in between. My recommendation to you is buy a good starting book (eg: Jorion) and a decent FinEng platform (eg: Matlab). Given a week and a bit of effort and you'll be a expert/hero.

Good luck,
bolter

 

Cheers everyone, I will look at the situation from that angle, would anyone recommend any other software?