Market Risk
Consolidate and slice and dice enterprise market risk metrics in real-time.
RiskCubed is a fast track to managing market risk measures such as P&L, VaR and risk sensitivities offering immediate business benefits without the need for expensive, long drawn-out implementation projects.
RiskCubed uses advanced cube technology to offer an ultra-fast, real-time analysis tool. Users access the cube through a familiar and easy-to-use Excel front end or a web-based cube navigator. Using pivots and charts, reports and graphing can be easily displayed, with a variety of breakdown criteria and multiple drilldown possibilities.
Value at Risk (VaR) simulation engine
VaR simulation provides greater accuracy in risk metrics with the ability to aggregate calculations across several commodities to achieve a single VaR figure and jointly model multiple commodities to observe correlations between price changes. The risk framework enables:
- Portfolio level Greeks & Sensitivities.
- Stress testing on contract portfolios.
- Single and multi-factor models for accurate simulation of risk factors.
- Calibration capabilities to customise calculations, e.g. by adjusting volatilities and correlations.
Single risk engine drives front office, credit risk and market risk with advanced analytics to simulate spot and forward prices, calculate M2M, VaR and other metrics. Quants can integrate proprietary modelling within the platform alongside the extensive native capabilities.
Elimination of manual processes and the audibility, application integrity and documentation expected of enterprise level software enables staff to add more value to the business.
Position & Risk Cube
Aggregates transactions from multiple sources to provide a consolidated on-the-fly position and risk management tool across multiple commodities enabling users to:
- Report positions in any unit of measure across portfolio, book, commodity, market and other metrics.
- Track live positions against historical positions, showing historical trends and deltas.
Advanced PnL aggregation and reporting capability including:
- Monitoring daily PnL against desk, trader, country, portfolio, commodity, book, market and other metrics.
- Track historical PnL for WTD, MTD, YTD and LTD calculations.
- Work in multiple currencies.
- Show intra-day “dirty” PnL against live open positions.
- Track historical and forward price curves.
Flexible reporting and tracking of market risk metrics alongside position and PnL measures. The module enables:
- Reporting of Greeks across various metrics such as book, portfolio, desk, commodity.
- Reporting of VaR at book, desk and portfolio level.
- Historical tracking and time trend analysis.
CubeWatch
Sentiment tracking via monitoring of social media and other news sources. By collecting data in real-time we can automatically organise it, filter it, translate it, score it and weight it using extensive language libraries and state-of-the-art techniques in sentiment analysis.
- Anticipate and proactively mitigate the impact of future credit risk events on the portfolio.
- Model and monitor sentiment in real-time.
- Latest market and sentiment data from Twitter, new organisations and online blogs.
- Enter custom scoring criteria and other weighting preferences to further customise your data. Data Sources: Twitter, webhose, Glassdoor, Trustpilot.
- Analyse live data via powerful, intuitive BI visualisations.
- Go beyond the data available via financial statements or public rating agencies.
- Reduce risks inherent in open positions by receiving up-to-date market information.
- Get valuable insights into market events and geographical or climate related events.
- Enables timely profit making or loss avoiding decisions.
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Learn more about how RiskCubed delivers immediate business benefits