Market Risk & P&L

Front Office Risk

Valuation Adjustment

Credit Risk

Liquidity Risk

Collateral & Margining

Calculate Value at Risk and Expected Shortfall on moving data as it updates, across asset classes, entities and roles.

Turn VaR and ES into functional metrics and see the results of an incremental change with each new trade. Mind tail risk. Incrementally check risk sensitivities down to the trade level on data, even as it is updating. Monitor intraday PnL and quickly assess the impact of risk factors and new trades on the portfolio.

Market Risk Aggregation

Trading desk heads do not have time to sift through complex chains of data feeds and stale numbers from legacy systems to wait for updates amid volatile markets. Examine intraday PnL and compare it to previous versions. Instantly slice and dice data and drill down across large datasets to check for any anomalies and view risk contributors.

Market Risk Accelerator

Sensitivities

Market volatility can really whipsaw prices and a sharp eye needs to be kept on these indicators lest your Delta moves against you and you’re out of the money. Atoti+ draws on high-frequency market data and aggregates it incrementally in real time for a continuous view of updated sensitivities, giving the desk a full and clear picture of risk, how near or far off the mark you are, and ultimately providing a solid PnL estimate.

VaR/ES

Waiting until you’ve exceeded your Value-at-Risk or blew out Expected Shortfall – or until a regulator finds out you did – is not an ideal way to go. With the right tool, desk heads and portfolio managers can examine sharp day-to-day moves in VaR, understand the effect on VaR, compute a Taylor Series, component VaR, marginal VaR and change and test an historical period or confidence level. Risk analysts and controllers can perform their own train-of-thought analysis, drill down to PnL vectors, investigate and test stress scenarios and evaluate the impact on the desk, book or the entire enterprise.

CME Group – Case Study

Product Control: Explain and Reconcile PnL in a Single System

PnL – Product control

Predictive analytics is an often-used buzzword – yet many solutions can’t actually enable such real-time predictions. Perform a quick check of the impact of market data changes on transactions. When a new trade is booked, automatically recompute risk and PnL measures and push the delta update to users’ screens instantly – providing traders with a continuous, up-to-date view of their risk and PnL. Market data moves are combined with sensitivities to produce a new PnL value regularly for each transaction.

FRTB SA and IMA – BCBS 457

The intensive Fundamental Review of the Trading Book regulation requires banks to perform calculations on large data volumes at high speed with no room for error. Perform the most complex, analytically intensive calculations at scale across siloed data and compute metrics for both SA and IMA. Provide capital allocation algorithm and what-if capabilities to optimize capital. Create alignment and transparency from desk heads through to risk managers in a single thread to precisely calculate regulatory capital and free up funds to redeploy elsewhere.

Innovative data analytics that empower financial services firms to be ready for the unexpected.