AAAccell Portfolio and Risk Management Engine

High-level documentation and feature overview for the AAAccell Portfolio- and Risk-management engine.

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Interactive User Interface · API Documentation

Table of Contents

• Model specification
• Model performance
  • Accuracy benchmarking
  • Execution times and scalability
• Model features
  • Heavy-tails
  • Dynamic volatility
  • Asymmetric volatility
  • Dynamic returns
• Risk-measures overview
  • Expected-Volatility
  • Value-at-Risk
  • Expected-Shortfall
  • Risk-Contributions
• Data-cleaning
  • Conditional interpolation and mapping
  • Interpolation
  • Risk-factor mapping
    • Risk-factor mapping ethodology
    • Risk-factor universe generation
    • Risk-factor table selection