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)

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"

Limits Monitoring

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.

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.