FRM Analytics

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FRM Analytics is a repository of industry standard algorithms used in Financial-Risk-Management.

Most of these algorithms are packaged as C++ Excel add-ins. All Excel Add-ins are designed to run online and offline.

To run the add-ins while you are online:

click the xll [Excel Add-In] file.

click on xls [Excel Spreadsheet] file.

You can do the same with compressed/zip files: decompress the zip file, double-click on the xll add-in file and open the xls spreadsheet.

Stress Testing	Predictive Stress Test and Correlation Stressor.

Time-To-Default Copulas	Gaussian Copula and T-Copula Time-to-Default. Couple Inverse Univariate defaults from credit curves to correlated asset price returns in order to compute Time-to-Default.

Expected Default Tools:	Credit Curves Survival Expected Default and Hazard Rate converter for credit risk computations.

Multivariate Analysis:	Cholesky Factorization, Principal component analysis, SVD

Data Processing:	Data is critical and yet extremely reactive. The following tools should make your life a lot easier when it comes to managing market risk factors.

Random Generator:	Upgrade Excel to professional mode ! Get the best public Random Generator Excel Add-Ins.

Managing Risk:	Tools, techniques & methodologies to manage risks. Some well known some others slightly less well understood.

Cash-Flow Generator:	Generate Fixed and Floating Flows, Exercise or Barrier Events with or without averaging and compounding that can be readily output to XHTML, XML, raw ASCII or Excel(R) format.

Fair Value Pricing:	Industry standard algorithms for derivatives, advanced numerical schemes. Finite differencing schemes. Implied Correlaitons, Complex pricing issues.

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