IFMR Research’s Centre for Advanced Financial Studies (CAFS) has developed a portal that lets Financial Institutions compute their Value at Risk (VaR). The context for this project, funded by IFMR Foundation, is that several market players lack the knowledge and the tools to compute with a reasonable level of accuracy the risk of their market positions.
In a demo of the portal conducted by Prof. Shankar, Executive Director of CAFS, he explained that small Financial Institutions, in particular, rely on indicative VaR numbers published by agencies such as FEDAI to measure the risk in their books. In the process, they fail to capture the benefits of (or lack of) correlation, market- neutral strategies and so on. This risk management portal allows users to enter their portfolio data, with respect to their foreign currency positions and the portal computes VaR using the Hull-White Modified Historical Simulation technique. In subsequent phases, the portal will also build capability in foreign currency options and G-Secs. The portal is being tested now – those interested to test and provide feedback, please send an email to: shankar [at] ifmr.ac.in