The software has been developed by NCEL's team of risk analysts, and calculates VaR (Value at Risk) of a time series using primarily the methods of exponentially weighted moving averages, historical/filtered historical simulations, simple moving averages and extreme value theory.
According to a Press release of NCEL on Thursday, NCEL ICAnalyzer, also part of the installation, is a state-of-the-art market liquidity gauge and is used for Impact Cost Analysis currently employed by a leading four percent of exchanges in the world, including Johannesburg, London and Bombay Stock Exchanges.
It also gauges real market liquidity to categorise securities into three baskets and factors the results into NCEL's RiskMeter.
"The deployment of these locally developed advanced analytical tools displays the high quality of intellectual capital that is available in Pakistan," Assim Jang, managing director NCEL, said.
"A key driver to success is to tap into this valuable local resources and optimise the efficiency of investments through placing greater value on the premium intellectual capital available in our market," he added.
Both the software tools will also be deployed at Karachi Stock Exchange and Islamabad Stock Exchange.-PR