A Decision-making Support Tool for Asset Allocation based on the Modern Portfolio Theory
QuantivestAAA (QAAA) is a decision-making support tool, which we have developed for banks and other customers, to help you manage security portfolio. QAAA has an asset allocation function mainly with the four traditional assets ( domestic bonds, domestic stocks, foreign bonds and foreign stocks). QAAA is also equipped with both a quantitative risk-analysis function and a risk-budgeting function to allocate risks to each asset. Additionally QAAA enables you to calculate VaR (Value at Risk) and CVaR (Conditional VaR), both focus on the downside risk of asset prices, by setting plural yield-curve scenarios.
- *Japanese version only
- Risk Decomposition, VaR, CVaR
- Example of yield-curve scenario setting