Risk Management Modules

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

	Trading risk analysis
	Monte Carlo risk analysis (VaR)

 

 

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.