Understanding your exposures to market risk
When trading across borders and asset classes, it is crucial to anticipate and evaluate the impact of market movements with respect to trading decisions. Any capital market business needs to have in place a reliable and extensive risk management framework supporting effectively the trading activity to have an optimal understanding of their risk exposure.
Sophis has worked for more than 20 years in the risk management space in capital markets. Risk management has always been at the heart of our RISQUE solution. This means that all Sophis users benefit from native and critical risk management functionality at all points of the STP chain – and can understand their risk exposure at all times.
Key Benefits
- Full range of risk analytics and scenarios available in an integrated front to back office platform for traders, risk managers and compliance officers
- Dedicated risk managers' environment and exceptionally flexible and user-friendly GUI producing daily key risk indicators for ex-post analysis and all types of breakdown report views
- Wide integrated reporting capabilities allow automating the reporting process for senior management
- Versatile dynamic stress tests open to customisation
- What if analysis, worst case scenarios, risk matrices
- IR breakdown analysis, forex analysis
- Real time consolidation of P&L and risks by any criteria: position, portfolio, underlying, sector, currency, etc...
- Greeks and sensitivity drill-down through multiple analysis dimensions
- Detailed P&L decomposition analysis on market data, Greeks, transaction and day effects, outlining the main contributing positions to the P&L variation
- Historical, Monte Carlo and Parametric VaR. Back testing capability. Openness to client's methodology
- Scenario calculation using full revaluation or Taylor expansion. Breakdown of VaR by risk factor using Taylor expansion
- Scalable risk calculation and scenarios in a grid computing environment
- Risk monitoring workflow through tasks scheduling (ex: portfolio greek reports, VaR, stress tests)
Learn more about our asset class coverage
Recognition
| "It is vital to have the appropriate risk management and operational controls in place. We chose Sophis RISQUE because it offered proven technology and because the team was able to demonstrate insight into the challenges that our industry faces"
Frank Kusse, Member of the Management Board at Robeco |
Read our case study
| Two years on from its implementation of Sophis VALUE, Arqaam Capital explains why Sophis was the right choice for its business |
