investment banks
The legacy of the global banking crisis demands improved risk management, operational
efficiency and more innovation...
As Investment Banks adjust to the “brave new world”, some things remain the same
while others are changed forever.
With the banks recovering their stability and security, they do so in an environment
that calls for improved operational controls and efficiencies, with risk management
constantly in the spotlight. Meanwhile clients expect banks to remain innovative
and to quickly support new products in changing market conditions.
improved risk management
The demand from risk management systems has broadened both vertically in terms of the depth of functionality required and horizontally with many more interested stakeholders across Investment Banks.
Derivation is a fully integrated single system handling many forms of real-time risk, including:
- Trader risk and hedging using the Greeks
- Scenario analysis and portfolio stress testing
- On-demand risk reporting, identifying risk concentration and drill-down
- Market & credit risk limits
robust, scalable software platform
Derivation was originally built at a sell-side firm, having been engineered by computer scientists to be completely scalable and run at the largest investment companies in the world, with such key features as:
- Dealing extremely high trade volumes, avoiding bottlenecks maintaining performance
- Calculating 10,000s derivatives in real-time
- Open systems architecture, allowing in-house model integration
- Quick to implement with “out of the box” APIs for trades, analytics and all market data, capable of easily integrating with any in-house system.
- Regularly deployed across multiple continents running multiple “end of days”
key features for Investment Banks
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- Flexible scenario analysis & stress testing
- Historic VaR risk reporting
- Complete risk concentration and drill-down
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- Tick by tick P&L with alerts/colouring
- View by any period: Daily, MTD, YTD, Lifetime
- Backdated changes with full trade audit
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- Greeks: Delta, Gamma, Vega, Theta, Rho...
- Implied: Volatility, Credit Spreads & Yield
- Many more: Premium, Parity, YTM, YTP, YTC...
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- Historic analytics service automates time series data retrospectively
- Professional historic charting package
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- Independent house price generation and storage
- Ability to nuke house pricing by the underlying equity price, delta and gamma
- Edit-in-grid functionality for “what if” analysis on house prices
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- Stores history of quotes with counterparties
- History of analytics: quotes, delta, theo price, floor and implied vol
- Quotes entered by team members are visible in real-time
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- Pop up calculators producing “on the fly” theoretical pricing and analytics
- Easy to use new issue calculator
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- STP integration with order/execution management systems via FIX
- Order blotter functionality
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- Worksheets can be filtered, sorted and aggregated
- Sophisticated search functions allow users to drill down to information quickly
- User defined formulae can be used in any worksheet for complete customisation
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- Bloomberg and Reuters for real-time pricing
- Automatically load terms data from Bloomberg, Reuters and MACE
- Credit spread data from CMA
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