Portfolio Risk

There are different techniques companies use to calculate VAR. At CLOUDRISK we utilise both historical and Monte Carlo approaches to VAR.

For both methods, we use a full re-valuation of the trades for each scenario and do not use any approximation. Therefore even the most complex derivatives are captured accurately.

With the historical method, VAR is determined by taking historical data to assess the impact of market moves on a portfolio. It is then used to generate a distribution of returns on the portfolio. Because historical simulation uses real data, it can capture unexpected events and correlations that would not necessarily be captured by the other approaches. The historical approach is non-parametric which makes him convenient and reliable. The Monte Carlo method simulates numerous scenarios for the portfolio and determines VAR by observing the distribution of the resulting paths. We do not use any kind of parametric and approximation based methodologies as they have proven to perform poorly in the context of derivatives.

The Result You Can Expect


Optimization of operational risks and costs. No need to devote people internally or to acquire any additional knowledge, skills or complicated systems.


Clients do not have to worry about growing their number of holdings as the system capabilities can accommodate (almost) infinite number of instruments


Our “No Black Box” approach gives freedom to choose the best fitting model

Why Us?

What we offer is a managed service. We do what is necessary on behalf of our clients, from market data procurement to payoff modelling and every other operational aspect involved. Thus, there is no need for our clients to devote people internally nor to acquire any additional knowledge, skills or complicated systems. Key personnel dependencies and exposures are minimized which also reduces the overall operational expenses.


  • The most sophisticated and advanced model library able to capture any derivative instrument regardless of its complexity and structure;
  • Price justification – We provide clients with thorough investigations and justification of the provided data when there is an unusual or suspicious price move. We also help them in price challenge resolutions and disputes with brokers and counterparties, when necessary;
  • Freedom to choose from variety of options to pick the one that serves best your purposes;
  • Testing strategies in real-life market conditions before applying them. Testing the effect of a portfolio addition before the actual purchase of the instrument;
  • Understanding and managing the counterparty credit risk and its impact on pricing.
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