VaR Software anyone?? Advice required

Discussion in 'Trading Software' started by Jim86, Sep 4, 2006.

  1. Jim86


    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,

  2. sccz97


    I've only used algorithmics and riskmetrics which are for institutions and really a lot more complicated for what you need. For £5k, I think you might even be able to hire someone develop a custom solution for you. If you do decide to go down that route you need to choose one or more VaR methodologies. Var/CoVar will be extremely fast and can provide you with intraday VaR and is def the most feasible solution if you're trading purely spot fx (or no derivatives with non-linear return profiles). The norm in banks is historical simulation but tbh I think this is the least meaningful when applied to fx. The last approahc woudl be monte carlo simulation which requires the most amount of development and maintenenace but can also be applied to things other than risk management. Seeing as this is purely in the interests of the investors, all they'll be looking for is a headline fund VaR figure with maybe a breakdown by ccy or strategy. If they're institutional investors they may be more comfortable with a hist sim approach. Whichever you choose, so long as your back end systems store sufficient market data (to calculate input parameters) and position information all of this can be 100% automated even down to producing your monthly investor report.
  3. Jim86


    I think that the Expo package is approx £3200 per license, however I have no idea how much the add ins are, as it seems I may require the RISK Add in.
  4. Jim86


    Does anyone have any idea how much the add ins are? I have emailed a LMT rep but he has yet to get back to me. Cheers
  5. I had a quote for $27k for expo and all add-ins. not sure about just the risk add-in though. I guess it's worth it only if you can afford it.


    btw, why r u in such a rush?
  6. Jim86


    Not in such a rush, just my boss would like something sooner rather than later as long as it is right. I have looked at many other products, most out of the price range.