Features
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