Risk you can stress, backtest and explain.
X-RISK runs a Monte Carlo simulation with every valuation, stresses the same book with historical and your own scenarios, measures liquidity in days and cost – and tells you how well the model has held up.
- 100'000
- Monte Carlo paths per run by default
- 10
- stress scenarios prepared, six of them historical
- 3
- confidence levels: 95, 97.5 and 99 %
- 5
- liquidation bands, from one day to over ninety
Three questions a risk manager asks
- Question How much can we lose, and with what confidence?
Value at risk and expected shortfall at 95, 97.5 and 99 %, for one day and for further horizons of up to 250 days.
- Question What happens if 2008 repeats?
Ten scenarios come prepared, six of them historical. Each reprices the whole book and shows the result per position.
- Question Can we trust the model?
Kupiec and Christoffersen tests and the Basel traffic light show whether exceptions are as rare and as independent as the model claims.
Value at risk with the tail in view.
A full Monte Carlo simulation runs with every valuation – there is no button to press. All risk factors share one covariance matrix, and expected shortfall shows what lies beyond the VaR mark.
- 100'000 paths by default, adjustable from 1'000 to 1'000'000
- Correlated normal model, historical bootstrap, or both side by side
- Historical or exponentially weighted volatility
- Factors for prices, FX, volatility, interest rates and credit spreads
- Fixed seed: identical inputs give identical results
- A flag on any figure whose simulation error exceeds 2 %
For UCITS funds that measure global exposure by VaR, the absolute limit of 20 % of NAV and the relative limit of 200 % of a reference portfolio are checked as rules.
See what drives the risk, and why it changed.
Every position receives its share of the expected shortfall, and the shares add up to the portfolio figure. Between two runs, X-RISK separates what the market did from what the manager did.
- Contribution to expected shortfall, adding up to the total
- Stand-alone VaR and incremental VaR per position
- A role per position: hedge, diversifier, follower or driver
- Diversification benefit of the portfolio
- Change split into market effect, position effect and interaction
- Delta, vega, theta and DV01 per position
Stress tests, historical and your own.
Every enabled scenario runs with every valuation and reprices the whole book – including the derivatives, with their own models.
- Six crises
The financial crisis of 2008, the COVID crash of 2020, the dotcom bust of 2000–02, Black Monday 1987, the rates shock of 2022 and the Swiss franc shock of 2015.
- Four hypotheses
Market −20 % with volatility +50 %, equities −40 % with volatility +150 %, rates +200 basis points, volatility +50 %. Prepared, and switched on when you want them.
- Your own
Shocks on all prices, an asset type, one instrument, a currency, volatility, interest rates – parallel or one tenor – and credit spreads. For one fund or the whole house, previewed before saving.
Each scenario shows profit and loss in total and per position, and a plausibility score that says how far outside normal conditions it lies.
A model that is tested against what happened.
Each one-day forecast is paired with the day that followed. Daily runs fill the days between valuations, so the test does not depend on your valuation rhythm.
- Clean return on the frozen book, dirty return as actually realised
- Kupiec test on the number of exceptions
- Christoffersen test on their independence
- Basel traffic light at 99 % over 250 observations
- Exceptions over time and by weekday
- Eight data checks, from stale prices to implausible volatility
Missing history pauses the run with a to-do. X-RISK never reports a figure built on partial data.
Derivatives repriced, not approximated.
Under every simulated and every stressed move, each instrument is revalued with a model that fits it.
These models serve the risk engine. The net asset value itself is built on market prices.
- 01Options
- Black-Scholes with carry, Garman-Kohlhagen for currencies, Black-76 on futures. Binomial trees for American and Bermudan exercise.
- 02Barriers and baskets
- Closed-form and tree models for barrier options, moment matching for baskets.
- 03Rates
- Swaps, overnight index swaps and forward rate agreements; caps, floors and swaptions with the Bachelier model; inflation swaps from nominal and real curves.
- 04Bonds
- Fixed, zero-coupon and inflation-linked bonds priced on the curve with a calibrated spread.
- 05Credit
- Credit default swaps, options on them and total return swaps.
- 06Structured products
- Convertibles, barrier reverse convertibles, bonus and discount certificates – and a builder for autocalls, memory coupons and worst-of baskets.
Liquidity, measured in days and in cost.
Every position is classified by how fast and at what cost it can be sold. From that follow the coverage ratio, liquidity at risk and the liquidation profile – in normal conditions and under stress.
- Days to liquidate from position size, average volume and participation rate
- HQLA levels 1, 2A and 2B with the Basel caps
- Liquidity coverage ratio, normal and stressed
- Liquidity at risk at 95, 99 and 99.9 %, from scenarios or from actual flows
- Liquidation cost from half-spread and market impact
- Stress scenarios mild, moderate and severe, plus your own
A what-if dialogue re-runs the figures with other outflow assumptions and saves nothing.
Two reports, and the views behind them.
Market risk and liquidity risk each have their own report and their own view of a valuation.
- PDF report
Risk report
Rendered with every valuation that has a completed risk run.
- Run parameters: model, paths, lookback, horizon, as-of date
- VaR and expected shortfall per confidence level, for one and ten days
- Comparison of the two simulation models
- Histogram of simulated profit and loss
- VaR history at 99 %
- Top ten positions by contribution, with the diversification benefit
- Backtest with traffic light and Kupiec table
- Stress scenarios with profit and loss
- Coverage and exclusions
- PDF report
Liquidity risk report
Eighteen sections, rendered with every valuation.
- Summary: HQLA, coverage ratio, liquidity at risk, cost, liquid share – base, stressed and difference
- Trend charts and a table of all scenarios
- Liquidation profile: risk matrix, cumulative liquidation curve, bucket migration
- Concentration by currency, group, asset type, sector and country
- HQLA composition and cost decomposition
- Stress heat map: thirty largest positions by scenario
- Compliance detail and headroom
- Inputs per position, methodology and glossary
- On screen
Risk view of a valuation
Five tabs on one risk run.
- Overview: key figures, histogram, VaR history, model comparison, backtest
- Drivers: contribution, role and diversification per position
- Changes: the difference to an earlier run, explained
- Factors and curves the run was built on
- Data quality and skipped days
- On screen
Liquidity view of a valuation
Five tabs, from the key figures to each position.
- Key figures that open the calculation behind them
- Scenarios with a stress preview
- Drivers, changes and history
- Positions with classification, haircut and spread
A risk run with every valuation.
No separate job to start, no second data set to maintain.
- 1 Collect
Price, FX, curve and credit histories are checked. A gap pauses the run instead of thinning it.
- 2 Simulate
Monte Carlo on the valued book, with derivatives repriced on every path.
- 3 Stress
All enabled scenarios reprice the book.
- 4 Test
The previous forecast is compared with the return that followed.
- 5 Report
Risk and liquidity reports are rendered and delivered.
Methods, by name.
Models with names, so your model-risk review has something to review.
Market risk
- Monte Carlo VaR and expected shortfall
- 95 / 97.5 / 99 % confidence
- Horizons from 1 to 250 days
- Normal and bootstrap model
- Historical and EWMA volatility
- Shrinkage covariance over all factors
Decomposition
- ES contribution per position
- Stand-alone and incremental VaR
- Position roles, diversification benefit
- Change: market, position, interaction
- Delta, vega, theta, DV01
Stress
- 6 historical scenarios
- 4 hypothetical scenarios
- Your own, per fund or for the house
- 8 kinds of shock
- Plausibility score per scenario
- Profit and loss per position
Backtesting
- Clean and dirty returns
- Kupiec and Christoffersen
- Basel traffic light
- Daily runs between valuations
- Exceptions by weekday
Pricing models
- Black-Scholes, Garman-Kohlhagen, Black-76
- Cox-Ross-Rubinstein trees
- Barrier and basket options
- Bachelier for caps, floors, swaptions
- CDS, CDS options, total return swaps
- Structured product builder
Liquidity
- Time to liquidate in 5 bands
- HQLA levels with Basel caps
- LCR, normal and stressed
- LaR, by scenario or historical
- Cost with market impact
- 16 liquidity groups
- Thresholds per regulation and fund
Not in the module today Classical historical-simulation and parametric VaR, greeks aggregated for the portfolio, duration and convexity as figures of their own, and swing pricing.
