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Risk analysis
PLaNETa has advanced risk analysis capabilities.
- Graphical 2D and 3D analysis of complex option
strategies and portfolios using
Position Charts 2D and 3D.
- What-If analysis using Scenarios Analysis module.
The module allows to analyze how the portfolio market value and
greeks change when prices, volatilities, interest rates and
other parameters change.
- Powerful Value-at-Risk module providing the
following features.
- Analytical calculation of VaR (Value-at-Risk) using
the so-called delta normal approach.
- Calculation of VaR (Value-at-Risk) using Monte Carlo
simulation, which allows to calculate VaR correctly for the
most complex portfolios containing non-linear derivatives
positions (including
exotic options
and
structured products).
- Analysis of the distribution of the future portfolio
value, which can give answers to questions such as "What is
the probability that the portfolio value in one year's time falls
between $1 000 000 and $1 500 000".
- Creation of histograms and distribution graphs of
the future portfolio value, which gives a clear representation and
feel of the risks of the portfolio.
- Calculation of miscellaneous statistical measures of
the portfolio, such as skewness and kurtosis.
- Calculation of volatilities, correlations and
other statistical measures of prices and other market variables.
- Calculation of margin requirements for derivatives
positions using a
sophisticated SPAN-like simulation technology. Margin is
calculated by simulating all the possible market scenarios
and finding the one that is the least advantageous from
the bank's perspective.
Screenshots
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