Gain control over large product sets using Instrument Groups, Product Groups and Risk Groups. Combine all expiries (weekly and EOM) of S&P, e-Mini, SPX, S&P ETF’s (weighted and inverse) into manageable Greeks by normalising to a standard contract size, while still maintaining visibility into each individual contract’s native risk. Consolidate “Midcurve” options into their appropriate underlying future contract for an accurate portrayal of spread risk. Our Stress tool puts risk managers in the driver’s seat.
Spread the word inside your organisation or to third parties. Use .pdf or .csv exports to deliver meaningful VaR information to Credit and Sales departments as well as to regulatory bodies instantly.
If you desire risk granularity, you are in the right place. View Greek and P&L calculations by firm, account, product, expiry and strike. Take the mystery out of large option positions by using our drill-down to strike capabilities. View market risk slides to shock prices and volatilities and break the positions into their individual components.
Be the architect of your VaR calculations. Configure and archive multiple VaR scenarios for daily use or store for use under specific market conditions. Control the VaR method, tenor, confidence level, number of scenarios, currency, historical look-back period and much more.
Take the guesswork out of your trading positions. Configure multiple market risk templates to calculate the potential losses due to a) a steepening or flattening of the yield curve b) a shift in the term structure of Crude Oil c) an explosion/implosion of implied option volatility d) a breakdown of old crop-new crop grain prices and/or any other trading risk scenario. Our Stress tool replaces uncertainty with clarity.
Take the VaR blinders off. Maximise your visibility into the source of your risk. Our VaR tool provides clarity into the accounts as well as the products and expiries contributing to your VaR totals. View VaR calculations in ascending/descending order for each day of your historical observations.