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Methods & Measures

GAIN Risk Management supports the following methods and measures

GAIN Risk Management small

Supported methods

  • Basel II: Revised Standardized Approach (RSA) | Foundation IRB | Advanced IRB | Basic Indicator Approach (BIA) | Standardized Approach (Operational Risk) | Advanced Measurement Approaches (AMA)
  • Analyses: Present Value Analysis | Maturity Ladder Analysis | Time Horizon Analysis | Key Rate Analysis | Cashflow Analysis | Cashflow Projection
  • Statistical: Binomial and trinomial tree calculations | Multi variable analysis | GARCH | Backtesting

Supported measures

  • Value at Risk: Variance/Covariance | Historical | Monte Carlo (GARCH) | Risk Metrics
  • Risk: Specific Risk | Risk Aversion | Volatility | T-Statistics | Implied volatility
  • Skill: Information Coefficient | Value Added | Information Ratio
  • Fixed Income: Price | BPV | Duration | Convexity | Modified / Price Duration | Accrued
  • Yield: Fast yield calculators | AIBD | ISMA | Moosmüller | Braes Fangmeyer | IRR
  • Options: Price | Delta | Gamma | Rho | Theta | Vega | Cost of Carry
  • Benchmarking: Alpha | Beta | Tracking Error
  • Return: Active + Specific Return | Excess Return
  • Risk-adjusted performance: Sharpe Ratio | Treynor Ratio
  • Statistical indicators: MAV | MACD | Stochastics

Supported instruments

  • Non-Derivatives: Equities | Funds | Commodities | Currencies | Indexes | Interest rates | Swaps
  • Bonds: (Zero) Coupon Bonds | Convertible Bonds | Floaters
  • Derivatives: Futures | Forwards | FRA | Options | Warrants | Asian Options | Barrier Options | Binary Options | Compound Options | Quanto Options | Dual Asset Options | Collar Swaptions | Ratchet Options