Compare three VaR methodologies side-by-side with live Nifty 50 data. Includes backtesting results, CVaR computation, and violation count analysis at 95% and 99% confidence.
Upload your daily P&L, set VaR confidence and window. App runs Kupiec POF test, plots violations timeline, and classifies model into Basel green/yellow/red zones.
Compute Expected Shortfall via historical simulation and filtered historical simulation. Plots tail distribution with confidence cone and scenario breakdown table.
Interactive credit scorecard with logistic regression PD estimation. Inputs borrower attributes, outputs probability of default, expected loss = PD × LGD × EAD, and risk classification.
Define custom stress scenarios (equity crash, rate spike, currency shock) and apply them to a multi-asset portfolio. Shows P&L impact, VaR breach, and portfolio sensitivity.
Compute RAROC, Sharpe Ratio, Treynor Ratio, and Jensen's Alpha across multiple portfolios. Side-by-side comparison table with colour-coded ranking.
Treat equity as a call option on firm assets. Input firm value, volatility, debt face value, and maturity to compute distance-to-default and implied PD using BSM framework.
Compare ARCH, GARCH, GJR-GARCH and Nelson's EGARCH on live market data. Explore asymmetric news-impact curves, conditional-volatility forecasts, AIC/BIC and QLIKE rankings, Value at Risk, Kupiec and Christoffersen backtests, residual diagnostics, methodology notes, and downloadable Excel analysis.
Model asymmetric volatility and the leverage effect with GJR-GARCH. Explore conditional-volatility forecasts, Value at Risk, VaR backtesting, residual diagnostics, and information criteria through an interactive teaching dashboard.
Compare equally-weighted, EWMA (RiskMetrics), and GARCH(1,1) volatility on live equity data. Plots volatility cone and shows mean reversion speed and persistence parameter.
Visualise Gaussian and Student-t copulas for two assets. Shows tail dependence coefficient, joint density, and how linear correlation underestimates joint extreme losses.