Risk Management ModulesPrice & Trade provides two modules to manage and analyse risks in portfolios:
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 2dimensional or 3dimensional 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 0PnL level.
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.



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