Risk Management Modules

Price & Trade provides two modules to manage and analyse risks in portfolios:

 

 

Trading risk analysis

 

The Price & Trade Trading risk analysis module allows the user to control his upstream risk in derivatives portfolios. He can get a precise view of his portfolio PnL and Greeks evolution on a 2-dimensional or 3-dimensional risk analysis.

The 2D analysis can be done very often since it is very fast. The user can focus on a particular risk zone, and modify the scale of this analysis to check more precisely his PnL Risk. The analysis can be ordered for different kinds of parameters: underlying, volatility or smile.

The 2D results are displayed in a table and more conveniently on a graph using the MGraphical2D and MParser tools. Each analysis point reveals the output params when the user hover the mouse around.

The 3D analysis is performing a matrix evaluation of the portfolio using the MGraphical3D tool. The two varying inputs parameters can be chosen among underlying, volatility or smile. Results are displayed in a 3D view or output to a file that can be loaded into Excel or another application.

N.B.: The pink grid in the 3D view stands for the 0-PnL level.

 

Monte Carlo risk analysis (VaR)

 

The Price & Trade Monte Carlo risk analysis module permits to generate the Value at Risk (VaR) . This number permits to synthesize the risk exposition of a portfolio in one sentence "We will lose less than V euros in the next N days with X probability". V is the VaR of the portfolio over N days horizon at the X probability level.

This VaR is now a standard measure asked from Hedge Funds for reporting or from firms' risk managers.

 

 

WHO ARE YOU?

Hedge Funds
Sell Side Firms
Brokers
Others
 

WHAT DO YOU WANT TO DO?

Automated trading
Screen trading
Positions Management
Risk Management
Markets Accesses
Financial Tools
Technological Tools
 

COMPLETE APPLICATIONS

Market Making Suite