Context of use of Cube Platform
A Brokerage Company who provides broker services on ETD instruments to private clients needs to manage all the second-level Risk Management processes
Company functions involved
Listed Derivatives (ETD) Desk, Risk Manager, Credit Office
Through the Front-office module you can
- Monitor on RT basis all the portfolio in Margin Call
- Monitor on RT basis all the portfolio values (qty, PL, exposure)
- Make the margins pre-trade check
- Simulate any effect of virtual positions on current portfolios
- As consultance service help the customer to reduce the required margins
- As consultance service help the customer to reduce any type of risk (Delta, Gamma, Vega, Value at Risk)
Through Risk Management module you can
- Make Scenario Analysis on all portfolios and thus recognize which of them are potentially at serious risk
- Monitor on RT basis the post-trade operational limits set by the bank on all portfolios and thus recognize which of them are in breach
- Monitor on RT basis the post-trade Value at Risk
- Calculate the portfolio Value at Risk with various models (Parametric, Historical Simulations and their sub-versions)
- Test the VaR model used through Back Test process and validation
- Make Stress Test Analysis
