Real-time risk and P&L
In a world of massive trades and instant price fluctuations, ActivePivot brings real-time visibility into trading and associated risk and P&L breakdown. Traders can instantly understanding trading activity and assess the impact on new transactions or market moves on their position and the entire portfolio.
Consolidating massive data volumes from trade and position keeping systems, in-house quant libraries, risk engines and market data, ActivePivot instantly computes P&L and risk measures. Using its in-memory capabilities, it loads millions of trades and market data records per second; as soon as a new deal is booked, it automatically recomputes risk and P&L measures and pushes the delta update to users’ screens - providing traders with continuous, up-to-date visibility of their risk.
Traders can cut and slice the risk across different books, currencies and products. They can drill down at various levels (Book, instrument), use their own bucketing logic to create dynamic views of their portfolio’s risk profile, group deals by trading or hedging strategy, and isolate specific P&L and risk all the way down to the trade level.
With ActiveMonitor, traders and heads of business lines are automatically alerted when positions approach or surpass authorised limits - so that they can be in control of all trading, hedge positions, reallocate limit availability, or take any other required action.
Limit-related alerts can be defined at any granular and temporal level - such as a value that approaches an authorized threshold or extends beyond it; a breach that lasts for more than a few seconds; or several conditions combined that must be met before an alert is triggered. Once a limit is breached, traders can use ActivePivot as a ‘time machine’ to analyse the root cause of a limit breach at any specific point in the past.
In addition to enforcing the bank’s ‘hard’ limits, heads of desks can define their own limits to set the level of freedom they want to provide their traders, or any specific metric to be monitored over time.
Credit risk evaluation
With instant credit risk metrics at their fingertips, risk departments can limit exposure and optimize risk coverage strategies. Risk managers can analyze CVA, PFE, or EPE down to each individual trade level and understand significant deviations at any point in time.
ActivePivot aggregates massive amounts of individual scenario simulations across tens of thousands of time points, performing netting and delivering credit risk measures in a split second. When new trades are processed, it incrementally re-computes impacted metrics and pushes the delta update to users.
In turn, users get an immediate understanding of risk exposure by counterparty. They can precisely hedge CVA with up-to-date sensitivities, determine the cheapest CVA counterparty or simulate the impact of a rating change using ‘what-if’ analysis. Once regulation changes, new credit metrics can be easily implemented with minimal efforts.
Optimizing collateral decisions and seizing arbitrage opportunities requires a global view of multiple assets. Yet, because data is typically spread across a vast number of siloed systems, most organizations are still missing a consolidated, real-time view of all collateral exposures, inventory and CSA to be able to optimize collateral decisions.
ActivePivot leverages your investment in existing systems by aggregating and consolidating data from multiple sources, and creating a central collateral layer that sits on top of your existing systems. Storing data in memory and updating it incrementally, it provides you with views of all inventory, exposures and collateral requirements, letting you analyze collateral data at any level of detail. You can make optimal use of available collateral, capture arbitrage opportunities and minimize initial margin collateral. Predictive analytics enable evaluating alternative optimization scenarios, such as assets cherry-picking and evaluating the effect of ratings changes and market shifts.
Using two out-of-the-box algorithms, “Cheapest to Deliver” and “Preference Pledging”, you can be up and running within weeks. You can then gradually plug your customized rules and algorithms to build your bespoke optimization solution.
With real-time data at their fingertips, traders can perform pre-deal checking and assess the impact of a deal prior to its execution. The right trade can be made, with the right counterparty and the right hedging strategy.
Traders can inject 'what-if' hypothetical trade scenarios into the analytical environment - such as "cheapest CVA counterparty", and instantly assess multiple scenarios and their impact.
What They Say About Us
As our core risk aggregation and P&L calculation engine, ActivePivot has become a “can’t do without” tool that support the real-time risk management imperatives that drive our FIC business.