Risk Management

Webinar: Simplify SIMM Sensitivities with triCalculate

Join this webinar Tuesday 24 April where we’ll discuss how triCalculate can provide your SIMM™ sensitivities quickly, easily and cost-effectively.

Incentivizing Post-trade Risk Reduction

Post-trade risk reduction has become increasingly common as a means to reduce risks in the derivatives market. Portfolio compression is a case in point: offsetting trades between multiple parties are torn up, which reduces the size of gross exposures, in turn reducing systemic risk. Over  €1,000 trillion in derivatives exposures has been eliminated in this manner.

Risk EMEA Summit 2018 | Join Me There | Discount Code For Readers

Risk EMEA 2018

Join The OTC Space, Razor Risk and JXL Consulting at Risk EMEA in April. Use the OTC Space discount code to reduce the cost by 15%.

What happens to my exchange traded derivatives (ETD) margin when there’s a big market move?

When asking most traders this question, the common assumption is ‘a large increase in margin.’

However, the impact of market moves on margin depends upon the type of margin; Initial Margin or Variation Margin. Each are impacted by large market moves differently.

Almost all ETD CCPs use the SPAN (or a SPAN like) methodology for margin calculations. The one exception to this is Eurex that has switched to use a VaR based methodology.

The OTC Derivatives Market Size is about to shrink via a CFTC proposal

We all know using notionals to measure the size of the OTC market leads to crazy headlines, so the CFTC has a cunning plan for that

How should you assess the effectiveness of risk management?

If an organization seeks to perform at world-class levels, it needs to have highly effective processes and practices for managing what might happen – risk. They should be assessed and the results shared with the board by several: The CEO, perhaps delegated to the COO or CFO The chief risk officer (if there is one) […]

Initial Margin Attribution

Bill: The post below starts to tackle the tricky puzzle of breaking out the total IM for a portfolio into the contribution by particular products or desks. Easy enough to treat each unit separately for IM, but harder to figure out how to account for the netting effect when combined as a whole, as the sum of the parts doesn't equal the total.

The Dog and the Boomerang: in defence of regulatory complexity

Joseph Noss and David Murphy

11th OTC Derivatives Summit: The Annual Meeting of the Global Fixed Income Institute at Pennyhill Park Hotel

The OTC Derivatives Summit of the Global Fixed Income Institute is an annual event which has now been running for over ten years. Those in the know refer to the Summit informally as the Pennyhill Park event – where a group of the most senior buy- and sell-side individuals debate (in private) the latest challenges running an OTC derivatives business.

Webinar Video Recording Available

On the 30th of March Razor Risk broadcast a webinar explaining the background to FRTB, the timeline for readiness, and showed a live demo of our platform