Market Risk Management
Stay on Top of Volatile Markets
RiskEdge allows you to manage Market or Price Risks on each and every of your portfolios, right down to the transaction level. Value-at-Risk (VaR) and Expected Shortfall frameworks enable you to steer clear of risky situations and associated Greeks provide deeper insights into your trades.
Value at Risk (VaR): The Global Standard in Risk Management
- RiskEdge is built on globally accepted VaR Framework, and is thoroughly tested to ensure accurate results
- Each of your trades has its own Marginal VaR & Component VaR numbers
- Portfolio VaR is calculated for each and every portfolio, and sub-portfolio – aggregated right to the top.
Expected Shortfall (ES): Your Second Line of Defense
- RiskEdge is one of the very few Global systems that enable Expected Shortfall (ES) for Commodity trades and portfolios
- ES answers “How bad can a bad day get?” – a question that VaR does not answer.
- [You can learn more about ES in our Blog post “Commodity Risk Management beyond VaR“]
Greeks: Your Edge in Trading
- Greeks associated with each and every trade and portfolio gives an edge to both traders and Risk Managers
- Delta, Gamma, Vega, Theta, Rho – are all tested thoroughly for accuracy.
Model Calibrations: Suited to your unique needs
- The Models are built flexibly to allow you to customize them significantly to your business’s needs
- User-Defined VaR methodologies – Parametric, Monte-Carlo, Historical and
- User-Defined Volatility Methods – Unconditional (Standard), Conditional (EWMA).
- User-defined Settings for Standard Settings such as Holding period, data range, Confidence Interval and many more.
- You can even Calibrate Mean Returns, Epsilon, random number seed, etc. for better results.
The Tech Edge: Accuracy, delivered at Blazing Speed
- RiskEdge uses latest advancements in technology to deliver more accurate results through intense processing, faster.
- Billions of Simulations can be delivered at a speed that you need with a little additional investment in hardware
- Parallel processing enables RiskEdge to deliver results in almost real-time
Every Transaction Type: No Trade left behind
- Valuations and processing logic available for all kinds of transactions – Derivatives and Physicals
- Exotic Derivative products and Unique Physicals like Unpriced / Basis / Physical Index, etc. are handled with ease – not just for valuation, but also for VaR & ES calculations along with Greeks.