Approximity develops leading-edge technical software for the finance, insurance and enterprise risk management domain.

New product!

The Approximity Risk Management Tool (ARMT) models the risk of portfolios consisting of stocks and bonds.

ARMT features:
  • Up-to-date financial models (e.g. a Cox-Ingersoll-Ross model with multiple stochastic factors for the interest rates)
  • Advanced estimation and simulation methods (e.g. Kalman-filtering)
  • Risk and performance measurement (VaR, Expected Shortfall, RORAC)
  • Risk capital allocation and portfolio optimization (e.g. due to RORAC)

New paper about our pragmatic approach: Risk and performance optimization for portfolios of bonds and stocks pdf  html

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