These are a series of decision-making support tools to be used in the management of securities portfolios, developed for banks and other customers, which are complete with an asset allocation function for portfolios focusing on the four traditional assets of domestic bonds, domestic stocks, foreign bonds and foreign stocks, a quantitative risk-analysis function, and a risk-budgeting function allocating risks by asset. It also has such functions as the computation of VaR (Value at Risk) and CVaR (Conditional VaR), which focus on the downside risks of the asset prices, and the setting of multiple yield-curve scenarios.
Risk Decomposition, VaR, CVaR
Example of yield-curve scenario setting
