The ‘Measuring Market Risk’ (MMR) toolbox enables you to carry out a large number of market risk measurement tasks, including:

· Displays of quantile-quantile (QQ) and mean excess function (mef) plots for exploratory data analysis.

· Estimation of Value at Risk (VaR) and Expected Tail Loss (ETL) using parametric methods, under a variety of alternative distributional assumptions (e.g., normal, lognormal, t, log-t, extreme-value, etc.).

· Estimation of VaR and ETL using non-parametric methods (e.g., historical simulation VaR and ETL, bootstrapped VaR and ETL, estimation of VaR and ETL using principal components, etc.).

· Estimation of VaR and ETL using position-level data and/or portfolio-level data.

· Estimation of confidence intervals for VaR and ETL.

· Extreme-value VaR and ETL analysis.

· Estimation of options VaR and ETL

· Estimation of incremental VaR/ETL, and estimation of hot spots (or risk decomposition) of portfolios.

· Simulation of VaR/ETL for complex positions (e.g., options, fixed-interest, insurance, pensions, etc.).

· Estimating of VaR and ETL using binomial methods.

· Backtesting of market risk models