VaR
Process
Risk
SAS
FTR
Issue

Our client had no visibility of their risk exposure regarding their virtual trades. Even after previously attempting to modify their FTR value at risk (VaR), it was still not meeting their needs. In addition, after our consultant delved into the issues, it became apparent the business had multiple inconsistent ideas on how to perform the calculations.

Solution

Our consultant, who had both deep technical understanding of the risk application as well as strong functional knowledge, architected a VaR process that leveraged the client's existing SAS/Risk Dimensions implementation. The solution allowed business users to execute the Virtual VaR analysis for any of the six ISOs in which the client trades. Finally, the solution provided the flexibility to run the analysis on a scheduled basis or executed on demand via an internal web interface.

Result

The client’s Risk Director received accolades from the executive group for being able to provide the corporation with additional metrics and previously unavailable risk measurement.

Managing Director, Risk Strategy & Control

Unpublished

MidDel bailed us out when the other Big Four Consulting Firm couldn't deliver. You have taken a huge load off my shoulders.

- Managing Director, Risk Strategy & Control, Major Energy Company, U.S.