This Whitepaper develops a new model for back-testing Expected Shortfall and shows how organizations can implement it. It also gives guidance on how this model can be put into practice by Risk management teams of Commodity Trading firms so they can manage extreme loss scenarios far better than ever before.

This Whitepaper deals with yet another open question for many Risk teams – Implied or Historical Volatility – Which one to use for computing VaR?

This Whitepaper addresses one of the most debated issues in Risk Management – The Stability of Monte-Carlo VaR Results. As Risk practitioners are acutely aware, Monte-Carlo is a preferred method when valuing non-linear, path-dependent instruments including complex derivatives.

This Whitepaper presents a Hedge Framework that is far more robust and flexible than other available hedge models and allows companies to improve their margins by reducing hedging costs, without compromising on their Risk Management practices.

In this White Paper, we discuss the Returns that can be achieved from investments in Risk Management. We present a model to measure RoI on Risk Management that can be easily customized and applied to any company. We also introduce a new Ratio ERR (Excess Risk Ratio) that uses Expected Shortfall (ES) and Value-at-Risk (VaR) to arrive at the Returns from Risk Management.