Introducing Harvest Risk

Delivering sophisticated portfolio risk analysis

Harvest Risk aggregates disparate portfolio data and enables users to interactively change the time-frame, model, portfolio, and other metrics to create on-demand or scheduled risk reports.

Schedule Demo
  • Multi-Model VaR | Parametric, Historical Simulation, Monte Carlo and more.
  • VaR Decomposition | Coherent, sub-additive component VaR, as well as Marginal VaR and Incremental VaR.
  • Expected Tail Loss | Conditional VaR analysis of tail events/tail loss.
  • Advanced Volatility Analysis | EWMA volatility, as well as GARCH.
  • Sophisticated Options Analytics | Sensitivities (all “Greeks”, as well as on-the-fly implied volatility calculations).
  • Correlation & Covariance Matrix Analysis
  • Stress-Testing | Hypothetical index moves, underlying asset shocks, volatility spikes, and historical scenario analysis.