Context of use of Cube Platform
An Investment Bank who provides broker services primarly to institutional clients on ETD instruments needs to manage all the second-level Risk Management processes

Company functions involved
Listed Derivatives (ETD) Desk, Risk Manager, Credit Office

Front Office functionalities

  • RT monitoring of all portfolios in Margin Call
  • Pre-trade margin verification
  • RT portfolio monitoring of all risk metrics (qty, PL, exposure)
  • Simulate effect of virtual positions on current portfolios
  • Help customers reduce any kind of risk (Delta, Gamma, Vega, Value at Risk)
  • Help customers reduce required margins
  • Manage the entire order life-cicle, from its generation to the fill
  • Send/receive orders to/from any brokers automatically via FIX (EMSX, TSOX, FIX hubs)

Risk Management functionalities

  • RT monitoring of post-trade operational limits set by the bank
  • RT monitoring of post-trade Value at Risk
  • Portfolio Value at Risk calculation with various models (Parametric, Historical Simulations and their sub-versions)
  • Test the VaR model used through Back Test process and validation
  • Scenario Analysis
  • Stress Test Analysis