Analyzing Risk: Improving the Speed and Reliability of Financial Models with Mathematica

Thomas Roux and Rémy Fellous, BRED Banque Populaire

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The Mathematica Edge
  • Access real-time trading data and perform instant analysis
  • Calculate value-at-risk for different portfolios and time horizons
  • Develop and refine analytic models for risk
"The great strength of Mathematica is helping us focus on the mathematical level of things. All the statistical, probabilistic libraries, the links with databases, with Excel files, with the different environments that are already built in—we don't have to worry about that anymore."

Challenge

Thomas Roux and Rémy Fellous work in the BRED of the Banque Populaire in financial risk management. One of their biggest challenges is presenting complicated risk assessment findings in a way that is easily understood by individuals outside the financial industry.

Solution

One of the advantages of Mathematica is its ability to graph in two or three dimensions, making it easier for those outside the field to understand the financial models being presented. Roux, who already had some experience with Mathematica, suggested they use it in lieu of technologies such as JAVA and JVBA.

Benefits

In addition to generating easy-to-understand graphs and models, Mathematica is faster and more reliable. Roux and Fellous note, "Before we discovered Mathematica, it was very likely we would encounter problems in terms of the speed of calculations and the reliability of the results." However, with Mathematica they can get a model down on paper, implement it immediately, and adapt to the different needs of the market.


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