Cube Risk
The Risk Management System for listed derivatives.

Cube Risk

What is Cube Risk
Cube Risk is a second-level risk management system for monitoring and managing issues related to transactions in listed derivative instruments of private or institutional customers. The software keeps the positions updated in real time, calculates the real time margins and calculates the risk of loss of the customers through a preventive scenario analysis.

Who is it for?
It is aimed at brokers and investment banks who need to monitor the activity in listed derivative instruments of their private or institutional clients.

The project
The project was born in 2008 when an Italian online broker asked Stefano Zanchetta for a tool to monitor the riskiness of his private customers who operated mainly in the listed derivatives marlets Idem and Eurex.
Since then, the system has been integrated with the use of Cube PreTrade and has become the pivot of the continuous and preventive analysis of the risk management procedures of the main players in the sector.
Cube Finance is a globally expert company in these issues.

Strengths of the service

  • Great coverage of global markets with the same native CCP models
  • Realtime calculation of all the values
  • Proprietary risk indicators to minimize bank-side risk of loss
  • Quantitative and qualitative analysis of individual positions at risk
  • Twenty years experience of Cube Finance

FUNCTIONALITY

Replica of the same models used by the Clearing Houses

Margins are calculated with the same parameters provided at the end of the day by the Clearing Houses or by recalculating the parameters during the intraday. This allows you to adjust to changing market quotes and get closer to the next day’s margin call

Cube Finance has created some proprietary indicators that calculate the market risk, and therefore the customer’s risk of loss beyond its availability, on various risk factors. The adoption of these indicators reported by Cube Risk in the bank’s internal procedures makes it possible to minimize the risk of loss on bank side

Portfolio Greeks are calculated in real-time mode on all positions and converted into monetary terms to offer greater understanding of the greeks.

Profile charts (or “payoffs”) allow you to analyze positions synthetically, especially when they are made up of a multitude of positions in options with different underliers, types, strikes and expiries.

Margins can be calculated by indicating a scenario of changes in market prices, to know the margins required following a hypothetical change in market prices

It is possible to verify the risk/margin impact of a simulated order before sending it to the market.

BENEFITS

  • Continuous intraday monitoring of customers’ risk positions
  • Greater awareness of the real risks associated with open positions
  • Advance knowledge of the probable “margins calls” of the following day
  • Preventive monitoring of situations at risk of negative liquidity of the customer or loss beyond the paid-in capital
  • Faculty of resolving problematic situations more promptly

Features
Main features available to various organizations and roles
All modules are interconnected, so no further integration is needed if and when another functional part of Cube Risk needs to be activated

Common features to all organizations, setups, users

  • Rules/ users/ permissions matrix
  • Two factor authentication
  • Unlimited number of internal and external (e.g auditors, clients) users
  • Each user can configure own dashboards, tables, pages, filters
  • Data provider usage limits

  • Real-time or EOD use
  • Real-time IBOR
  • Real-time Orderbook with advanced filtering
  • Full pre and post/trade compliance cycle
  • Bulk uploads via spreadsheets
  • Custom reports or warning (email, sms) to multiple recipients
  • Extensive registry section (instruments, counterparties, markets, etc)
  • Data usage monitors

  • Cloud ready
  • Web based
  • Latest technologies (CSS3, HTML5)
  • Automatic version installation
  • Responsive design
  • Sync and connect to in-house (external) applications
  • Synchronize to own spreadsheets
  • In-built support ticketing system
  • Separate document db (MongoDB)
  • In-app system configuration panels
  • Connect to any major data provider

Macro features and functions 

  • Scenario Analysis
  • Sensitivity Analysis
  • Value at Risk Analysis
  • Risk indicators (volatility, VaR, custom indicators)
  • Margin calculation with original CCP models

  • Consolidated asset and risk statements
  • Cash and portfolio statements
  • Swiss AMLA statistics, SRO reports (AUMs, BOs, etc), rebate reporting, etc
  • Performance according to GIPS: performance contribution (with FX) and risk measures

  • Margins using native CCPs algorithms
  • Pre-trade margin verification
  • Greeks and risk measures
  • Exposures in notional amount or underlying equivalent (e.g. power market)
  • Scenario analysis (time, volatility, price)
  • Simulated portfolios

Deployment
Our technological advantage is illustrated by our competences and experience, which include the SaaS / Azure cloud environment

SaaS
vs.
On Premise installation

Cube Risk can be run either as a SaaS environment, hosted on Microsoft Azure, or installed on-premises

Saas advantage

Cube Finance takes care of everything, speeding up Time to Go Live. The MS Azure environment is configured precisely to Cube Risk technical specifications (CPU, memory, DB choice, etc) and the end user’s workloads. No need to acquire, configure and maintain hardware, LAN, OS.

On-premise advantage

Cube Risk will transparently sit together with existing in-house infrastructure and will be able to exchange data with other networked applications and processes. No need to modify or rework existing network infrastructure, and the server technical requirements are not overly hungry in terms of computational power.