"With its range of functions and simplicity, risk kit as an excel add-in allows us to develop, test and use new models as prototypes quickly and reliably. With risk kit as the mathematical heart, these models can then be implemented in a production environment."

##### Gangolf Hirt, Risk Manager, Oyak Anker Bank

Rapid Prototyping of Monte-Carlo simulations and risk analyses

• The components of modern quantitative risk management at hand
• Easy handling

# Product - Highlights

• Integration in Microsoft Excel or other frameworks
• All functions usable as Excel cell functions
• 50 univariate probability distributions each available as
• random numbers
• cumulative distribution function
• inverse cumulative distribution function
• density or mass function
• 10 multivariate distributions and copula functions
• 17 univariate and multivariate stochastic processes
• Resampling of empirical data
• Graphical and statistical analysis of Monte-Carlo simulations
• Rating methods
• Portfolio optimization
• Sensitivity analysis
• Calibration of distributions and stochastic processes
• Network floating license for enterprise wide use

# Handling

In a series of illustrative movies learn more about Risk Kit. Click to watch movie in a popup.

## Risk Maps

With the size of the bubbles a third dimension is introduced into risk maps so that financial losses can be displayed in combination with reputational losses or risk concentrations.

## SEVERAL GRAFIC TYPES IN ONE CHART

Several distributions in one chart can be plotted transparent so that their overlap becomes recognizable.

Alternatively, each distribution can have a different type.

## INTEGRATION OF INSURANCE PAYMENTS

The compound distribution models the random sum of random losses. This situation is often relevant for operational risks.

This method is extended for the possibility of insurance claims by the function CompoundWithInsurance where for each loss and for the total sum of losses a deductible and maximum liability can be stated. The method returns the total losses, the sum of insurance payments and the uncovered losses.

## CASH FLOW AT RISK

The function Cashflows calculates payments for individual trades, while TotalCashflow determines total positions for entire portfolios of trades.

The function can process large numbers of trades at once.

The trades can be described precisely by a large number of parameters. Both functions support the calculation of market and liquidity risks.

## CONFIGURATION OF STATISTICS INCLUDED IN GRAPHS

Risk Kit introduces a feature which allows the user to configure the statistics shown in Plot and Scatter Plot charts. A new Statistics tab in the graph dialog allows the user to easily drop or include statistics as well as define the order in which they are displayed.

## CONFIGURATION OF DUMPED STATISTICS

With Risk Kit the user is able to configure the list of statistics, which need to be dumped into Excel after simulation. In addition, the user is able to change the order in which the statistics are displayed.

## FUNCTION WIZARD

The Risk Kit Function Wizard can be used like any other standard function dialog in Excel. This implies that keyboard short cuts can be used to select or deselect cells or ranges.

In addition, the Function Wizard is able to handle functions that return more than one value by allowing the entry of such functions as array formula.

## EXTENSIVE MODEL CHECK BEFORE START OF THE SIMULATION

To better support the simulation process, Risk Kit verifies the model and identifies issues right before the simulation. If there are errors in the model, the user will be notified and receives a detailed description of the problem.  In addition, Risk Kit guides the user during the creation of the model and helps to avoid mistakes that may lead to errors during the simulation.

## CELL MANAGER

With the cell manager we have developed a feature to navigate easily in an extensive model. For example, the user can identify all input fields at a glance with the help of the cell manager and switch between them. The cell manager is directly accessible via the Risk Kit toolbar. All named cells in the workbook are displayed, i.e. input, output, graphic and process cells .

## CACHING OF SIMULATION RESULTS

Risk Kit keeps all simulation results in memory so those figures are not lost after the recalculation of the worksheet. The big advantage of this is that additional statistics or even sensitivities can be calculated without the need to restart the simulation.

## DISPLAY OF ESTIMATED DISTRIBUTION PARAMETERS

Risk Kit shows the estimated distribution parameters together with goodness-of-fit statistics in the calibration results. This supports the user in choosing the appropriate distribution.

The selected function can be copied directly to the worksheet.

## HANDLING OF CHARTS

Graphics create transparency in models. In extensive analyses with many graphs, a good arrangement of the charts keeps the overview. With one click you can see all graphs as a matrix or as a cascade.

## SUPPORT FOR RESTRICTED ENVIRONMENTS

With Risk Kit users working on restricted environments without administrator privileges can enable or disable the add-in individually.

# Do you have more questions?

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