FinTech Risk Analytics — VaR three ways, projection, Greeks

Portfolio value

—

Cost basis

—

Unrealised P&L

—

Return on cost

—

Sector allocation (by market value)

Holdings

Symbol	Name	Shares	Avg cost	Price	Weight	P&L

Import your own holdings

A CSV with columns symbol,name,shares,avg_cost,current_price,sector. Parsed in your browser; nothing is uploaded. Rows that fail validation are listed, not silently coerced. Risk metrics use the shipped synthetic history for symbols it covers and say which it does not.

Holdings CSV

Risk-free rate for Sharpe (% annual)

—

VaR 95% — historical

—

VaR 95% — parametric (normal)

—

VaR 95% — Monte Carlo (Cholesky)

—

Expected shortfall 95%

—

Sharpe (annualised)

—

Max drawdown

—

Risk / return by holding (annualised)

Drawdown from peak

Simulated daily return distribution (Monte Carlo VaR)

Historical VaR: interpolated 5th percentile of daily portfolio returns. Parametric: −(μ + σ·Φ⁻¹(0.05)). Monte Carlo: jointly normal draws from the empirical mean vector and covariance. All three as positive fractions of value; the dollar figure applies them to today's portfolio value.

Paths

Horizon (trading days)

Expected return (% annual)

Volatility (% annual)

Seed

Geometric Brownian motion from today's portfolio value; the expected terminal value is V·e^(μ·T) in closed form.

Paths with 5th / 50th / 95th percentile bands

Terminal value distribution

Terminal statistics

Mean

—

Median

—

5th percentile

—

95th percentile

—

Spot ($)

Strike ($)

Time to expiry (years)

Risk-free rate (%)

Volatility (%)

Option price

—

Intrinsic value

—

Time value

—

Break-even at expiry

—

Greeks

Delta

—

Gamma

—

Theta (per day)

—

Vega (per 1%)

—

Rho (per 1%)

—

Portfolio