Quant Services
Risk model development and validation
Developing of models like Stress testing models, What-If scenario models, One day portfolio hit models etc. which can help identify shocks that the portfolios can go through
Doing BARRA type analysis to break down the overall basket into various macro linked attributes like Crude, US Dollar etc and identifying “hidden” excess risk which the portfolio might carry
Risk measurement and reporting
Measurement of risk like 1 Day volatility, N Days Volatility, 1 Day VaR, N Days VaR
Measurement of Peak to Trough drawdowns in the model and time to recovery
Calculation on Excel / R languages of standard risk measures like Sharpe Ratios, Sortino Ratios, Total Return to Peak To Trough Drawdown etc.
Monte Carlo simulation
Simulating various paths and hypothetical scenarios (like stochastic pricing models) to identify maximum loss scenarios
Simulating the portfolio with historical data to identify its behaviour in various market and how to vary the weights of the portfolio to achieve the most optimal set of results
Contact Us
602, Vakratunda Corporate Park, Near Udipi Vihar Hotel, Off. Aarey Road, Vishveshwar Nagar, Goregoan (E), Mumbai - 400 063, India
+91-22-6671 9184 / 98
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