Risk Mgmt Software or Tools on the Cheap?

hfAdvisor · April 22nd, 2009, 10:01 pm

Hi All-Looking for cost effective (cheap/free) way to do on the fly risk mgmt reporting/analysis for actual portfolio holdings that are across different asset classes (equities, options, credit etc...) It should include all the bells/whistles such as VaR, CVaR, ETL, PCA, Monte Carlo analysis of portfolio holdings etc...(It could be something that can be used in Excel) Any suggestions or ideas would be helpful and greatly appreciated.

quantmeh · April 23rd, 2009, 1:52 am

what's cheap? is $100k annual cheap for you?

hfAdvisor · April 23rd, 2009, 2:02 am

Cheap to me is close to free!! 100K is bit too much for my blood

stonexu1984 · April 23rd, 2009, 1:07 pm

can't believe there is still ppl use 3rd party software, trust me they are shit all for marketing. if you want to do some real work build whatever urself

hfAdvisor · April 23rd, 2009, 2:06 pm

thanks for the suggestion but don't have the time or resources to do so. if you think of anything else please let me know

yeswici · April 24th, 2009, 4:41 pm

please email info@yeswici.com. do you know how to use web services for real time RM computing?

purbani · April 26th, 2009, 9:45 am

Infiniti Analytics Suite ( IAS ) going to be available for under $20k per annum see www.infiniti-analytics.com for details.

andste · April 27th, 2009, 8:06 pm

A lot depends on your data. If you have a vector of holdings and long time series of historic positions returns, one can already do a lot.

yeswici · May 2nd, 2009, 1:35 pm

look at the REST/SOA approach under labs tab of www.yeswici.com. thanks.

bringiton · May 4th, 2009, 4:28 pm

Imagine software which is used by the big banks has an ASP version of their offering which gives you access to real-time market data for equities, fixed income, currencies and credit along with a suite of risk tools like parameteric VaR, Monte Carlo analysis, scenario analysis, and custom built shocks.