Market Risk Analysis (fx, interest rate, stock prices, commodities)

Value and exposure analysis for any type of financial asset from bonds, stocks, commodities, derivatives and insurance liabilities. This includes several valuation methods like net present value, fair value and the calculation of sensitivities with respect to exogenous market risk factors (duration, key rate duration, convexity and option Greeks) and their stress testing. Value at Risk and expected shortfall can be calculated using the parametric, historical or Monte Carlo approach.