Post Trade

Calculate 'Max Risk' loss values by account/product/contract and analyse future market results by configuring multiple stress scenarios and viewing the results simultaneously. Use Historical and MC VaR tools to compliment and contrast the market stress calculations.

Components

Stress

Expect the unexpected and anticipate your loss exposure. Create instrument groups and/or product groups to combine similar products into manageable combinations of inventory. Use product weightings to simulate real world market behaviour across products.

Key features

  • Multiple sophisticated market stress scenarios run simultaneously
  • Extensive product grouping and position management capabilities
  • Greek Risk and P&L down to the strike level
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Post Trade VaR

Supplement your Stress risk results by calculating Historical VaR on current inventory. Configure Historical and/or Monte Carlo VaR scenarios (confidence, tenor, historical lookback and correlation) and also calculate Expected Shortfall and Incremental VaR. Remove the “black box” limitations and add transparency by viewing VaR by account/product/maturity.

Key features

  • Historical and Monte Carlo VaR scenarios configured with ease
  • Transparency of VaR calculations by firm/account/product/contract
  • Extensive VaR reporting capabilities
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