Intraday real time risk management is offered by taking filled trade information from electronic terminals and processing this to the client risk management engine in the format selected by the client. In addition, we can calculate value-at-risk (VaR) and exposure at several confidence levels and horizons, calculate greeks (delta, gamma, theta, vega, rho) on all option positions, and stress test a client portfolio utilizing approximately 100 scenarios that shock underlying price and volatility.
For institutional accounts, a hierarchy structure can be maintained that allows the credit analysts to maintain a tree structure for all accounts. Limits, ratings, review dates, SIC codes, etc., can be entered for each account and hierarchical legal entity. Exposure is calculated at the hierarchical and account levels.
Risk Management Solutions
