3 methods
Historical, Parametric, and Monte Carlo models for comprehensive risk assessment.
Risk, VaR calculations
Quantify market risk with precision
Gravitas ETRM calculates potential losses using customizable, industry-standard VaR models , so you can measure and manage market risk with confidence.
Overview
Industry-standard VaR, tailored to your portfolio
Value at Risk is the foundation of market-risk measurement. Gravitas ETRM supports the full range of industry-standard approaches, Historical, Parametric, and Monte Carlo, and lets you tailor calculations to your specific assets and risk tolerance. Results are presented clearly, empowering faster, better-informed decisions.
Capabilities
What it does
Industry-standard models
Portfolio customization
Your assets
Tailor calculations to your specific assets and risk tolerance for precise results.
Actionable insights
Clear output
Results are presented clearly, empowering you to make informed decisions.
Interactive tool
Try the VaR calculator
Adjust portfolio value, confidence level, volatility, and horizon to see an illustrative parametric VaR. This is a simplified single-position estimate, Gravitas runs full-portfolio VaR across all three methods.
$10,000,000
30%
Estimated Value at Risk
$0
—
Illustrative parametric (variance–covariance) VaR for a single position, assuming normally distributed returns. Gravitas supports historical, parametric, and Monte Carlo methods on full portfolios.
Benefits
Why it matters
Historical
Real distributions
Uses actual historical returns to capture real, non-normal market behavior.
Parametric
Fast & analytic
A fast, closed-form estimate for near-normal portfolios.
Monte Carlo
Simulation
Thousands of simulated paths for complex, non-linear portfolios.
FAQ
Questions
Which VaR methods does Gravitas support?
Historical, Parametric (variance-covariance), and Monte Carlo simulation, so you can choose the method that best fits each portfolio.
Can VaR be customized to our portfolio?
Yes. Calculations are tailored to your specific assets, confidence levels, horizons, and risk tolerance.
Is VaR computed on live positions?
Yes. VaR runs against current positions on the shared data model, so risk reflects the book as it stands. See the Risk module.
Related
More in Risk
See it on your trades
Request a demo
A working walkthrough of Risk mapped to your commodities and workflows.