ICEBERG

THE ULTIMATE EQUITY DERIVATIVES RISK-MANAGEMENT SYSTEM

ICEBERG was born from Finance Concepts’ practice in designing best-of-kind RM systems for cleared equity derivatives. ICEBERG is based on a multivariate statistical model for the variations of stock prices, indices and their implied volatility surfaces. Contrary to SPAN or TIMS, ICEBERG is built to handle multi-asset portfolios containing thousands of underlying stocks and their options, taking account correlations between risk factors. In other words, ICEBERG is fully cross-sectional and can analyze the risk of any portfolio of listed derivatives which have non-zero open interest and are in the scope of OPRA.

 

Iceberg

 

Highlights:

·       ICEBERG is cross sectional: its goal is to measure and report risk for portfolios with many different underlying assets

·       Risk-factors are equity prices and option implied volatilities

·       ICEBERG’s P&L scenarios are computed using GPU technology which enables to price in a limited time about 400,000 options in 10,000 scenarios.

·       ICEBERG estimates statistical correlations and co-movements of all risk factors in a common framework or model.

·       ICEBERG has been tested on portfolios of some of the largest broker dealers, as well as on market-maker books, with 1000s of positions.

·       ICEBERG processes position files, calculates risk measures and generates risk-reports, providing convenient diagnostics and performance attribution for traders and risk managers.

·       ICEBERG is highly configurable in terms of sub-portfolios, sub-accounts, firm-wide risk, omnibus accounts, etc.

·       Outputs are risk measures (ES, VaR) and Greek exposures at various granularity levels.

·       ICEBERG is an ideal middle-office tool to monitor one or more desks trading U.S. equity derivatives.

·       ICEBERG can measure firm-wide risk and account level risk and is particularly useful to capture volatility and correlation exposures in complex multi-asset books.

·       Technical and data requirements for running ICEBERG are minimal, due to the fact that ICEBERG delivers each day pricing and risk-scenarios for the entire US ED universe to its clients.

·       Risk is analyzed efficiently and completely anonymously, using a local application which reads in a portfolio file, computes risk measures and generates reports.

·       ICEBERG’s scenarios are updated daily to incorporate the latest available market data.

For more questions on ICEBERG, contact info@finance-concepts.com or support@finance-concepts.com