Predict the
Unpredictable.

Quantify your downside with precision. Gravitas ETRM offers a multi-methodology Value at Risk engine, allowing you to stress-test your portfolio against extreme market conditions using Monte Carlo or Historical simulations.

Choose Your Methodology

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Monte Carlo Simulation

The gold standard for portfolios with non-linear instruments (options, swing contracts). Simulates thousands of random price paths to generate a probability distribution of returns.

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Historical Simulation

"What if the past repeats itself?" Applies actual historical price movements to your current portfolio. Ideal for capturing "fat tail" events and market crashes.

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Parametric (Variance-Covariance)

A lightning-fast approximation assuming normal distribution. Perfect for quick intra-day checks on linear portfolios (swaps, futures).

Beyond the Number

A single VaR number doesn't tell the whole story. Gravitas breaks it down so you can take action.

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Component VaR See which specific trades or desks are driving your risk.

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Marginal / Incremental VaR Understand the impact of the next trade before you book it.

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Backtesting Automated Kuppiec tests to verify model accuracy against actual PnL.

VaR Distribution (95% Confidence)

1-Day Horizon

Mean Return $12,450

VaR (95%) -$45,200

CVaR (Expected Shortfall) -$62,100

Stress Test Your Portfolio

Don't fly blind. Get the analytical power you need to set accurate risk limits and allocate capital efficiently.

Request Demo

Predict theUnpredictable.