As regulations in the derivatives markets continue to be rolled out and implemented, today’s practitioners need to re-examine their pricing and risk infrastructures and adopt a more integrated and holistic approach for assessing trade profitability, managing risk and allocating capital to their businesses.
Numerix Oneview Enterprise Platform provides a unified view of risk across an institution, breaking down silos between departments and desks to provide real-time market risk measures and counterparty exposures that firms can utilize to make informed risk and capital allocation decisions.
Leveraging the industry’s leading risk and pricing analytics, Numerix Oneview Enterprise Platform enables users to understand and manage enterprise-level exposure to any risk, across large and diverse portfolios comprised of vanillas to exotics from any asset class.
Optimize capital, collateral, funding and other variables to maximize enterprise profitability while minimizing risk–with Numerix Oneview Enterprise Platform.
PRE-TRADE PRICING & XVA ADJUSTMENTS
- Calculate trade-level profitability (EVA or Economic Value Added) in real-time for pre-trade decision-making
- Incorporate counterparty credit risk (CVA/DVA), funding costs (FVA), capital costs (KVA), margin (MVA) and other XVA pricing adjustments into pre-trade prices
- Price extremely large derivative portfolios (millions of trades) across all asset classes and instrument types, including vanillas, exotics and structured products
- Optimize capital allocation, funding costs, collateral usage, and margining while minimizing market risk and counterparty risk
- Perform “what if” analysis to determine optimal counterparties to trade with based on counterparty risk limit utilization, capital charges (eg. bilateral vs. CCP), collateral agreements, and netting
- Forecast capital requirements over time, allocate capital to desks and trades/portfolios, and choose between a Standardized Approach or Internal Model Method (IMM) approach for regulatory capital calculations
- Replicate or approximate CCP margin, and calculate bilateral Initial Margin and Variation Margin based on the Standardized Initial Margin Model (SIMM)
- Evaluate and optimize collateral agreements and collateral usage
- Perform PnL prediction, attribution and back-testing to understand PnL and risk drivers
- Understand incremental and marginal measures for each XVA as a trade is transacted
- Calculate XVA sensitivities for dynamic hedging purposes
- Pre- and post-trade risk analysis: Dynamic in-memory cube enables ‘Slicing & Dicing,’ aggregation and drill-down of PnL and market risk measures, including non-linear measures such as VaR and Expected Shortfall, in real-time.
- Greeks & risk sensitivities: Utilize out-of-the-box Greeks, or apply user-specified scenarios to calculate custom risk sensitivities.
- All flavors of VaR: Calculate intraday historical VaR, Monte Carlo VaR, stressed VaR, and Expected Shortfall as the markets move. Change variables such as confidence levels or liquidity horizons in real-time to see the effect and match .
- Incremental & marginal VaR: Calculate Incremental & Marginal VaR
- Stress testing & scenario analysis: Conduct a wide range of stress-testing and scenario analysis
- Regulatory reporting: Helps meet market risk capital requirements utilizing historical VaR (HS-VaR) and stressed HS-VaR, as well as Expected Shortfall and backtesting capabilities for upcoming Fundamental Review of the Trading Book (FRTB) regulations.
- Customizable view s of risk: View risk at the enterprise, portfolio or trade level, by desk, type, sector, region, currency or other custom groupings.
- “What-if” trade analysis: Perform ‘what-if’ trade analysis, available pre-and post-trade, at the enterprise or desk level
COUNTERPARTY CREDIT RISK
Calculate all counterparty exposure measures and pricing adjustments
- Calculate PFE, EE, EPE, ENE as well as unilateral and bilateral CVA/DVA
Analyze counterparty risk in real-time, for fast trading and risk decisions
- Risk-adjusted pre-trade pricing
- “What-if” trades with pre-trade incremental CVA/DVA
- “Slice & dice,” aggregate and drill down into calculation results in real-time
- Monitor exposure limits of traders, checking limit utilization and sending alerts when limits are breached
Optimize counterparty choices and reduce counterparty risk
- Analyze “what if” trades to see incremental CVA for different counterparties
- Evaluate CSA options as the firm switches to new CSAs
- Calculate CVA sensitivities for CVA dynamic hedging
- Replicate CCP margining for CCP comparisons
- Calculate bilateral Initial Margin and Variation Margin based on the Standardized Initial Margin Model (SIMM)
Comply with accounting and regulatory requirements for counterparty risk calculations
- CVA adjustments for financial reporting
- Counterparty Credit Risk capital, CVA charges and CVA-VaR for Basel III
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