FlexOPT-RM offers comprehensive real-time risk and stress analysis whereby traders can analyze risk by portfolios, sectors, traders, accounts or any level of aggregation/hierarchy.
Features / Benefits
- Open architecture with API interface to integrate valuation models, volatilities and interest rates.
- Graphically analyze and review P&L as well as the contribution to P&L from Greeks, such as Delta, Gamma, Vega and Theta.
- Slice and dice your portfolio by underlying, expiration, account, etc., or analyze your entire portfolio.
- Define your stress tests in terms of spot and volatility shifts and review the impact on your Delta, Gamma, Vega, etc., projected at multiple future dates.
- Volatility surfaces for risk and stress analysis are computed in near real-time.
- Drill down to specific stress scenarios or graphically review a range of stress scenarios.
- Test possible scenarios by adding candidate trades and view the affect on your risk and stress testing.