RISKFIN Dragon

2020: Representation of RISKFIN Dragon 1.0

On March 9, 2020 reported to RISKFIN LLC that on the terms of the open license offers banks, the enterprises, the financial and non-financial institutions the program of forecasting of time series "RISKFIN DRAGON" v 1.0.

The program will be useful in the absence of programming or insufficiency of functionality of Excel.

The program is useful to analysts, risk managers, financial directors, marketing specialists, participants of the securities market.

The program can be used everywhere where the forecast is required and there are ranks of these retrospective observations:

• in production, financial activities and retail, for example, for forecasting:
  • the prices, including on raw materials, materials, finished goods;
  • costs - on the basis of the forecast of the prices of their components;
  • revenues (in rubles and pieces) on the basis of the set costs;
  • the volume of demand and supply on products and services;
  • stock balance;
  • inflow / outflow of clients;
  • , etc.

• In management and optimization of production processes, for example, forecast of failures and defects, loading level and so forth.
• Forecasting of currency rates, stocks, bonds, options, futures and other share tools.
• Forecasting of separate elements of models of assessment of solvency of the borrower (revenue, profit, etc.).
• The analysis and risks assessment in different scenarios.

The model of forecast function is under construction on the basis of the analysis historical (or hypothetical) discrete data, equidistant from each other on time, taking into account their interrelations and seasonality. Accuracy of result is defined by the probabilistic limits on both sides from the predicted value reflecting a maximum and a minimum in which borders it will be with the probability set by the user. Borders of a credible interval are defined by the value of residual "noise" - quality of the constructed model (the model accuracy is less, the borders of a credible interval are wider.

At the heart of "RISKFIN DRAGON" v 1.0 - automatic creation of ARIMA models (autoregression models - the integrated moving average). Model parameters are defined by order of models of autoregression and moving average, value of scales of observations and factors of a deviation and also degree of the operator of a difference of process for its reduction to a stationary type. One more program capability allows to determine on the basis of the forecast of cost of underlying assets the price of the euro options Call and Put for different price levels of execution of option contracts (strikes) and interest rates. The methodology developed by RISKFIN LLC on the basis of the modified Merton, Blek and Shoulz's approach allows to use results of forecasting of values of underlying assets in calculations that considerably increases the accuracy of determination of the price of option contracts and gives the chance of application in arbitration strategy.