Forward-looking risk analysis

[qusma]

Based on current open positions: marginal VaR for current portfolio components, scenario analysis, correlations, correlations in crashes, etc.

On top of that, what-if analysis for arbitrary portfolio changes.

Estimating cov matrix is problematic: use a statistical factor model (PCA) instead?

Use quantlib for options analysis stuff.

Good paper on scenario analysis using principal components: http://www.bancaditalia.it/pubblicazioni/econo/temidi/td06/td602_06/td602en/en_tema_602.pdf