Securities Finance Real Time Risk Management … AT NO COST

Ross Levin
Sep 23, 2015
1 min read

One of the major problems securities finance traders and risk managers are experiencing is the inability to monitor risk in real time.

A current typical set-up follows these simple steps:

Trade today
Send positions to a risk management system overnight
Receive a report tomorrow
Adjust the positions

In this scenario, you are always a minimum of one day behind, which creates an issue of not being able to manage the risk on a timely basis.

Although, this is an industry accepted practice, it would certainly look more favorable if the risk can be assessed, managed and mitigated at the time of the trade entry or immediately thereafter.

The same implications are applied to various risk disciplines: counterparty credit risk, market risk, and operational risk.

Fortunately, there is a solution that does not involve investing in real time integration between a trading system and a credit management system, which would be the ultimate fix. In fact, the proposed solution does not even require a separate application to be installed and could be used using the existing Bloomberg terminal.

The benefits are far reaching:

Value at Risk (VaR) calculated real time
13 built-in models covering all possible scenarios (domestic, international, equity, fixed income, or multi-asset)
Variable confidence level (95%, 97.5% or 99%)
Flexible horizon (from 1 day to 1 year)
Full breakdown of multiple factor causing VaR variations
VaR simulation
Real time monitoring of adherence to Acceptable Collateral policy
Wrong Way Risk monitoring
Collateral Management for non-cash collateralized activity
Corporate action/dividends monitoring
and many, many more