Mirai Risk Metrics (MiRiM) is a Shiny app based on the Risk Metrics methodology and intended to analyze and visualize commodity data.
Commodity trading in the market usually relies on expensive software, complicated to inspect, enhance or modify. It can be quite difficult to move away from it. MiRiM was born with the goal to overcome this limitation, and show that more light-weight solutions based on open-source software can be a better alternative. Therefore, we decided to create our own tool in the form of a Shiny application based on the widely used Risk Metrics methodology. It is straight-forward to use and you can upload your own portfolio or examples to run the model and get some results.
The current implementation is a sort of PoC done together with a Business partner. It only contains, as of now, the standard calculations of the VaR and ES. Stay tuned for further updates, extensions to functionality or visualizations, as well as an eventual increase of possible simulation sizes (currently limited due to memory). Feel free to get in touch at info@mirai-solutions.com if you have any suggestion for further enhancements.
At Mirai, we carry out projects like this one on a daily basis. We take an idea from a methodological paper and transform it into an actionable tool (using almost always open-source software). If you are facing similar challenges and would like to know more about Mirai Risk Metrics (MiRiM) or Mirai Solutions, walk around our website and don’t hesitate to contact us.