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 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 firstname.lastname@example.org or email@example.com