Computational Tools for the Analysis of Financial Risk

Introduction The estimation and management of risks for nancial portfolios is an important and complex task with which market regulators and nancial institutions are faced. Corporations may adopt a conservative strategy and use risk analysis in order to minimize the eects of unexpected uctuations in the conditions of the market. Alternatively, they may intend to acquire a competitive advantage through a calculated and carefully controlled exposure to risk. On the other hand, market regulators are interested in enforcing restrictions to this exposure to risk, so as to avoid failures, which would endanger the whole economic system. These restraints should be also supple enough not to have a negative eect on the functioning of the markets. The nancial portfolio of an institution is composed of a number of products (including bonds, assets, derivatives, etc.) that are openly traded in nancial markets. The prices of these products depend on a series of risk factors: interest rate