Delta Suite

Market Risk

Delta Hedge’s Market Risk solution provides financial institutions with proven analytics based on a variety of industry-standard methodologies for the calculation of portfolio risk measures (Value-at-Risk, Expected Shortfall) and risk contributions (marginal, incremental, component) for individual positions or portfolios.

Strong points of the solution are:

Various methodologies are available: Users can perform Monte-Carlo or historical simulations, while the classical Delta-Gamma framework can be enriched by more practice-oriented approaches like real-time CrashMetrics or similar practitioners’ risk models.
What-if scenarios and stress tests can be applied consistently, enhancing them on demand with Delta Hedge’s visual analysis toolkit in order to perform 2D/3D-graphical simulations of complex products and portfolios.
Risk managers can generate real-time analyses for pre-trade simulations and post-trade portfolio reporting, with fully interactive simulation and drilldown possibilities to the level of traders, strategies, countries, sectors or positions.
As a result, an efficient limit management is possible, which allows for an ongoing alert monitoring of risks in line with the pre-defined risk appetite of an institution.
Extraordinarily high performance, thanks to the end-to-end application of Grid-Computing and associated methods (Threaded Monte-Carlo, Grid MC) to speed up computations significantly.

Learn more on this solution in our Market Risk Solution Fact Sheet.