Quantitative Risk Analysis and Modeling

Standard performance and attribution measures are calculated using historical simulation. We offer Monte Carlo simulation based on different distributions, such as Gaussian, Fat Tailed ( Cornish Fisher, Skewed T, Johnson, EVT- tail distribution). To calculate volatility and variance-covariance matrix, we make use of different models.

Time series comprises of Garch, EWMA; Market data based: Using implied volatilities and High frequency data based: Parkinsons. Liquidity risk is calculated based on Betas for illiquidity factors. Sensitivity (derivatives) include Delta, Gamma, Theta, Vega, Rho Scenario or Stress tests are calculated taking into consideration factors like Currency, sector, geography, manager inputs for both event and correlation, back testing and curve sensitivity.



Capital Metrics & Risks Solutions Pvt. Ltd.
+91 20 49127100 | info@capmetrics.com
Address: 32/33, Rachna Bungalow, Dr. Ketkar Road,
Off Karve Road, Erandwane, Pune 411 004.

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