RISK

Risk analytics can be calculated on a real-time basis. These include:

  • Exposure breakdowns

  • Multi-asset class scenario stress-testing with all Greeks

  • Price-yield return matrix

  • Monte Carlo value at risk  (Mersenne Twister or  Linear Congruential) …. OR

  • Historical value at risk

  • Beta correlations  (Vanilla, or upside/downside)

  • Liquidity

  • Maturity bucket breakdowns

  • Curve shift analysis

  • Duration and modified duration

  • PV01’s and cash bucketing

LONDON I CAPE TOWN I SYDNEY

            

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