ARMS release 3.1 is now available

ARMS release 3.1 now available

In the latest release of Algorithmica Risk Management System, a number of enhancements are available.

Instrument coverage has been further developed with instruments such as:

  • Equity Basket ETF
  • Equity Option with Double Barrier
  • FX Option with Double Barrier
  • FX Asian Option
  • Equity Variance Swap
  • Callable Bond family
  • Bermudan Swaption family
  • Constant Maturity Swap Cap with choice of model
  • Commodities futures, forwards and options w. asian ending and composite currency adjustment
  • Inflation cap

Calculation method Filtered Historical Simulation (FHSVaR) is now among the standard choices of VaR or CVaR. It enables a rescaling of historical samples using current volatility regime, giving a faster adaptation of the risk measure to current market conditions.

Expected shortfall risk (also referred to as Conditional VaR / CVaR) is available as an alternate measure for all risk methods, such as Historical-, Filtered-, and Monte Carlo VaR. All models also come with a current market value mean or a sample mean VaR measure, referred to as absolute or relative VaR.

Server-side ARMS now has support for:

  • Built-in parallel processing of all main calculation features
  • An enhanced server user interface
  • Completely flexibly hierarchy specification with nested trees
  • User access control to any parts of the hierarchical trees
  • Faster and more compact XML schemas
  • Stand-alone calculation times halfed by using vector states

For more information about ARMS please contact Robert Thorén. +46 (0)8 440 4400.