TwoFour adds VCV VaR calculation support
TwoFour Systems, a leading provider of global financial transaction processing systems, today announced the addition of Variance-Covariance Value at Risk (VCV VaR) calculation support in its comprehensive, cross-product TwoFour trading platform.
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TwoFour clients can now employ VCV VaR calculation methodologies to strengthen risk management practices for global portfolios. TwoFour seamlessly integrates with external sources of volatility and correlation data for calculating VCV VaR.
TwoFour enables users to define an unlimited number of risk buckets, while making use of industry standard data sets, and allows them to view any combination of time horizon and confidence level parameters as required. TwoFour's VCV VaR solution provides organizations with both the high-level summary and specific, detailed information views necessary for effective total risk management.