Risk Management
Value at Risk (VaR) Calculator
Calculate parametric, historical, and Monte Carlo Value at Risk for any portfolio. Estimate potential losses...
Risk Management
EWMA Volatility Calculator: EWMA and GARCH(1,1) Volatility Estimation
Estimate and forecast volatility using EWMA and GARCH(1,1) models. Compare exponentially weighted and generalized autoregressive...
Risk Management
Fama-French Calculator
Run Fama-French three-factor and five-factor model regressions. Decompose portfolio returns into market, size, value, profitability,...
Risk Management
Information Ratio Calculator
Calculate the information ratio to measure portfolio manager skill. Compare active return relative to tracking...
Risk Management
Sortino Ratio Calculator: Risk-Adjusted Return with Downside Deviation
Calculate the Sortino ratio using downside deviation instead of total volatility. Measure risk-adjusted returns that...
Risk Management
Tracking Error Calculator
Calculate ex-post tracking error and annualized tracking error for portfolio performance evaluation. Measure how closely...
Risk Management
Performance Attribution Calculator: Brinson-Fachler Allocation, Selection, and Interaction Analysis
Perform Brinson-Fachler performance attribution analysis. Decompose portfolio returns into allocation, selection, and interaction effects relative...
Risk Management
VaR Decomposition Calculator
Risk Management
Calmar Ratio Calculator
Risk Management
Maximum Drawdown Calculator
Risk Management
RAROC Calculator: Risk-Adjusted Return on Capital
Risk Management
VaR Backtesting Calculator: Kupiec POF Test & Basel Traffic Light
Risk Management
Risk Budget Allocation Calculator
Calculate component VaR, risk budget utilization, and diversification benefit for a 3-asset portfolio.
Risk Management
Liquidity-Adjusted VaR Calculator
Calculate Liquidity-Adjusted Value at Risk (LVaR) by adding bid-ask spread liquidity cost to standard parametric...
Risk Management
Operational Risk Capital Calculator: Basel Basic Indicator Approach
Risk Management
Range Volatility Calculator
Risk Management
Kelly Criterion Calculator
Risk Management
Model Validation Metrics Calculator: Backtesting & Performance Statistics
Risk Management
Stress Testing Calculator
Risk Management
Net Stable Funding Ratio (NSFR) Calculator: Basel III Structural Liquidity
Risk Management
Insurance Reserve Calculator
Calculate P&C insurance reserves using the paid-loss chain ladder method.
Risk Management
LCR Calculator: Basel III Liquidity Coverage Ratio
Calculate your bank Liquidity Coverage Ratio (LCR) with Basel III haircuts and Level 2 caps....
Risk Management
EVT Tail Risk Calculator
Calculate Value at Risk and Expected Shortfall using Extreme Value Theory with Generalized Pareto Distribution...
Risk Management
Credit Migration Probability Calculator
Calculate credit rating transition probabilities using S&P historical migration matrices. Project upgrades, downgrades, and default...
