Home -> Solutions -> Risk Management

Real-Time Risk Management for
Better Decisions & Transparency
A sophisticated set of risk assessment and analytic capabilities are essential for proper management of market risks and to help create value in investment portfolios, ensure transparency, and foster comprehensive risk practices and internal controls.
Utilizing leading-edge modeling, analytical, and simulation methods, Imagine identifies, quantifies, and monitors risk factors affecting investment returns, both within individual portfolios and across an organization’s entire range of trading activities. Imagine’s advanced risk management capabilities include:
VaR analyses
Projections
Back testing / stress testing
Monte Carlo and historical simulations
Allocation of risk across forward periods
Risk reporting
Interest-rate risk management
Comprehensive limits monitoring
Sensitivity analysis (including greeks)
Limits Monitoring
Risk managers can set and monitor, in real-time, configurable trading and risk exposure limits on an individual, group, or organizational basis, using their choice of portfolio attributes.
Perform Multiple VaR Analyses
The platform’s powerful VaR analysis tool suite provides a wide gamut of calculations, including:

Parametric VaR
Variance/co-variance
Intra-day VaR
Monte Carlo VaR
Historical VaR

Calculate Greeks to User-defined Points
Greek values—deltas, vegas, gammas, and thetas—are calculated using a modified Black-Scholes model for European options and a variety of sophisticated models for American options.
This implementation enables calculation of sensitivities according to user-defined points and shocks along the yield curve, and generation of a “best hedge” employing the user’s choice of hedging instruments.
An included pricing tool provides a means of analyzing historical implied volatilities for any equity in the world for which there are listed options.
Share |


 
What-if Scenarios
Hypothetical scenarios to determine a market’s impact on existing positions and potential transactions represent one of the most powerful management techniques available to front office and risk professionals. Derivatives.com facilitates this by enabling prices, volatilities, interest rates and discounts to be incorporated in scenarios that subsequently generate a “what-if” mark-to-market.
Also see "Custom Views"

Monte Carlo Using Historical Simulations
Historical Monte Carlo simulations offer insights into potential portfolio performance through examination of exposures to shifting prices based on the simulation of historical market data, such as the Stock Market Crash of 1987. The simulation tool incorporates simulated moves in stock prices, shifts in yield curves, volatility changes, exchange rates, interest rates, FX rate movements, and counterparty defaults.
contact us  | Follow us on Twitter Follow us on LinkedIn
NYC 1 212 / 317-7600  |  London 44 20 / 7440-0700  |  Sydney  61 2 / 9350 8800   |  Hong Kong  852 / 3929-2288
©2010 Imagine Software Inc.
contact me...
Name 
Phone 
launch ITS