Asymmetrica’s risks management

At Asymmetrica investments we use financial risk modeling as a formal econometric technique to determine the aggregate risk of portfolios composed of real assets.

We use the so-called Capital Asset Pricing Model (CAPM) to describe the relationship between systematic risk and expected return for assets. CAPM is widely used throughout finance for pricing risky securities and generating expected returns for assets given the risk of those assets and the cost of capital.

Based on the concept of time value of money (TVM), we develop models for natural resources portfolios.

Our modeling approach uses a variety of techniques including market risk, value at risk (VaR), historical simulation (HS), or extreme value theory (EVT) in order to analyze a portfolio and make forecasts of the likely losses that would be incurred for a variety of risks.

Such risks are typically grouped into market risk, model risk, liquidity risk, and operational risk categories.

Our models are implemented in Python and Javascript, and fed with market prices in order to be able to derive an estimation of our model parameters.