risk management
With capital markets volume growth coupled with derivative products becoming increasingly
complex, risk management procedures and practices are now more vital than ever
Derivation provides the transparency which is essential to meet both regulatory
requirements together with the demands of investors. In a single integrated system
it supports all assets and markets, seamlessly integrating derivatives with cash
equities.
Derivation is designed with both the trader and risk manager needs in mind, allowing
them to explain and control the market risk taken by the firm. Its extensive software
suite provides the essential tools to both drill down and roll-up, to very quickly
identify risk concentration.
derivation highlights
- Cross markets & assets: Managing risk across Commodities, Convertibles, Credit, Equity, Fixed Income & Interest Rates.
- Risk sensitivities: Real-time Greeks with risk and time bucketing that may be aggregated at any level.
- Scenario analysis: User determined portfolio stressing as well as historic simulations that can be constantly displayed in real-time.
- Enterprise VaR: With customisable confidence levels and time horizons, complete with a comprehensive, customisable reporting suite.
Click to enlarge image
key features
risk navigation
- Portfolio risk can be displayed in real-time across all markets and assets classes, breaking down Commodities, Convertibles, Credit, Equity, Fixed Income & Interest Rates.
- Full risk concentration, drill down and roll-up capabilities to quickly identify areas of concern and sources of risk.
- Ultimately flexible portfolio hierarchies, aggregating risk results at every level.
risk factor sensitivities
- Delta, Gamma, Vega, Theta, Rho and other Greeks for real-time management of cash and derivative positions.
- Risk bucketing by time and currency, with market risk, credit risk and exposure monitoring.
- The tools to automate daily tasks and publish accurate and comprehensive risk measures for trading books, portfolios and funds.
simulation & stress testing
- Deterministic stress testing may be run across whole portfolios, shifting Price, Volatility, Credit Spread, Day, Interest Rate and FX metrics shocking P&L and all other columns.
- Historic market simulations (9/11, Russian default, Black Monday etc) may be run in real-time across all funds and portfolios.
- Derivation’s user-defined formula language provides complete customisation to allow risk numbers to be constantly viewed in real-time.
value-at-risk
- Derivation’s historical VaR simulation offers a firm-wide risk management solution.
- VaR results may be aggregated across all asset classes, with customisable confidence levels and time horizons which may be viewed simultaneously.
- Tools to automatically collect historical data either via snapshots or backfilling, calculating variance volatility and covariance correlations, with facilities to review and correct data.
- Complete enterprise wide VaR reporting suite, with configurable worksheets and formatted reports that may also be exported to Excel.