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Blazing engines for cool risk management

(Last Updated On: April 15, 2011)

Blazing engines for cool risk management

UnRisk-Q/VaR Universe Рfor builders of the most sophisticated risk management systems

Apr, 2011 – UnRisk has announced that the VaR Universe on top of its UnRisk-Q has been taken to financial institution’s developing quants and risk professionals. The comprehensive VaR Universe produces a cube of VaRs as input for individual risk management processes.

The VaR Universe

The VaR Universe on UnRisk-Q produces information as rich input of a multi-strategy and multi-model risk management process. VaR can be calculated across the major methods and a vast variety of risk factors. The calculations produce a cube of VaRs spanning the portfolio VaR, into individual, component and composite VaRs – for the provision of a deeper understanding of sources and impact of different risk factors.
It really matters whether such a cube is calculated in 12 hours or 3 minutes. UnRisk-Q’s blazingly fast calculations and intelligent computational minimalism by, say, principle component analysis and Taylor series expansions, enable such unprecedented speed-ups.

Driver of the technology evolution

About a year ago, UnRisk-Q has been taken to quant developers as fruit of the co-evolutionary development of the bank-proof UnRisk PRICING ENGINE and UnRisk FACTORY.
UnRisk-Q integrates numerically optimized pricing and calibration engines, written in C++, into Mathematica 8. Before released, UnRisk-Q was the hidden driver of the rapid UnRisk growth – parts of UnRisk are programmed in UnRisk. Empowered by the declarative Mathematica language, it closed the feed back loop with quants.
“Making UnRisk-Q available to quant developers we re-invented our business. We made UnRisk-Q the pace maker of all UnRisk developments and deliver solutions and know-how packages”, summarizes Andreas Binder, CEO of the UnRisk makers.

Buy to build more with lower cost

UnRisk-Q plus VaR Universe starts at EUR 9150 – perpetual license plus 1 year Premium Service. It requires Mathematica 8 and runs on minimalist infrastructure from a multi-core desktop to a networked pool of core processes.

Ask Herbert Exner, exner@unrisk.com

About UnRisk:

http://www.unrisk.com

http://unriskinsight.blogspot.com/

 

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