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March 11th, 2008
Artelys Risk: consulting services in
Risk Management
In the finance industry, Artelys has recently set a fruitful
collaboration with the Risk Department of LCH.Clearnet,
the European leading central counterparty for cash equity
and derivatives markets.
This collaboration dealt with the modelling and statistical
analysis of extreme market moves, in order to design stress-tests
and decide the consequent market members' contributions to
guarantee funds. Extreme variations of major European equity
indices were investigated using and comparing different techniques
of the Extreme Value Theory.
More
details
Analysis
tool Artelys EVA
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