RiskSharp

Risk# is a risk modeling and risk aggregation platform developed to bridge the gap between prototyping and productization.

Risk# technologies allows fast prototype development and an efficient approach to turn your prototypes into production level application.

The algorithms are programmed in C++ using extremely fast and robust routines, and are extensively tested for numerical precision.

Data Management and Processing

  • Advanced data processing tools
  • Data import and export functionality to standard data base applications and Excel
  • Support of folder and meta-data hierarchies

Data inference

  • Comprehensive library of parametric distributions
  • Loss data and scenario data fitting and “goodness of fit” tests

Stochastic modeling

  • Monte Carlo simulation
  • Advanced numerical aggregation algorithms
  • Comprehensive set of dependence models
  • Netting functionality for (re)insurance contracts
  • Risk allocation algorithms

Compliance

  • Comprehensive logs and functionality to re-run log files for audit or model validation
  • Flexible report generation with automatic report updates
  • Tracking functionality for model parameter changes

Flexibility

  • Ability to introduce user-defined functions and classes
  • Ability to link to Excel and run Risk# from Excel
  • Ability to link to C# libraries and generate C# code

Data Processing and Data Analysis

Risk modeling comprises extensive data processing and data analysis. Risk# enables users to perform database operations including filter, sort, join, multi-dimensional look up, group, or map to process data, and in a user-friendly way, both from implementation and maintenance perspectives. Data analysis is streamlined through extensive data plotting, fitting, bootstrapping, and other user-definable functionalities.
 

Capital Computation

Regulatory or economic capital can be computed and allocated using the risk modeling and risk aggregation functionalities of Risk#. Model implementation and run-time are significantly accelerated by optimized Risk# functionality and performance, enabling users to run multiple model assumptions and stress tests in near real-time.
 

Balance Sheet Modeling

Balance sheet models are developed by combining risk modeling with cash-flow analysis. Such models may be defined and modeled in significantly varying ways depending on internal and regulatory requirements. With Risk#, financial institutions can implement their balance sheet models, and integrate them easily with capital models.

Risk# is implemented in the latest .NET technology. Risk# leverages the power of .NET technology for both design and integration of powerful applications. It supports client server architectures that simplify the creation of enterprise applications.

Risk# allows great flexibility in object persistence, so business objects can interface with all the data sources
available. The framework provides the flexibility to optimize performance, scalability, and security without need for changes to code in the user interface or business objects.

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