Value-at-Risk is an important metric for any risk management team. Knowing your VaR or CVaR is a valuable tool in seeing how much risk a portfolio is exposed to. With the Plutus:VaR Engine, you can accurately and quickly calculate the VaR for your portfolio!

Features:

• Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR)
• Model fitting to live real-world data
• Monte Carlo pricing of American options on GPUs for maximum speed/accuracy
• Automatic scaling to any number of GPUs