Filtered Historical Simulation Platform(FHS)

The Filtered Historical Simulation Platform can run on Windows and Mac OS X operating systems and on systems ranging from a smart phone (iPhone etc) up to large mainframes. On a 64 bit operating system with fast processor and large amounts of ram it can run a 1 million trials multi step 10 day simulation for 100 risk factors, 10,000 Positions, 150 portfolios in less than ten minutes

It can work with Oracle, SQL Server, InterBase, DB2, Firebird, SQLite, MySQL, PostgreSQL, SQL Anywhere, Advantage DB, Access, Informix, DataSnap and more databases.

A powerful 64 bit desktop PC with 48GB of ram and SSDs for storage should be capable of a million scenarios.

Processing for a Selected Day

The FHS platform can run with daily, intraday, or real time data. It can generate millions of scenarios for the risk factors, the FX rates and the implied volatilities. For each day in the risk horizon. It produces confidence intervals for risk estimates on the tails, such as expected shortfall and joint default rates.


Screenshot of FHS Software displaying portfolios.               Displaying standardised Residuals

FHS Software  Standardised Residuals

Displaying Histogram of Forecast Asset values.                    Displaying 10 Days ahead Portfolio Distribution.

Forecast  Portfolios

Displaying Histogram of Ten Days Ahead Random Portfolio.                    Displaying Histogram of Ten Days Ahead Random Portfolio 2

10 Days ahead random Portfolios  10 Days ahead random Portfolios 2

Displaying Histogram of Ten Days Future A_01.                    Displaying Histogram of Ten Days Out of The Money Put Option

10 Days ahead future a_01  10 Days out the money A_01 Put Strikre 100

Displaying Expected Shortfall.                                        Displaying Stress Testing.

Expected Shortfall  Stress Testing

Displaying Sensitivity Analysis.                                            Displaying Risk Factor Changes.

Sensitivity Analysis  Risk Factor Changes

Displaying Risk Factor Behaviour.

Risk Factor Behaviour

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