Systems > Risk Management (RM)

Risk Management (RM)

Risk Monitoring with TwoFour

TwoFour supports multiple types of limits & margin on multiple trading products.

Limit Monitoring
Features & Benefits

  • TwoFour RM is a component of TwoFour
  • Real-time risk assessment allows organizations to effectively allocate a greater percentage of capital towards deal flow
  • Real-time limit monitoring provides the assessment of the source & nature of credit risk allowing management to make informed decisions in active market situations
  • Real-time alerts & work queues on limit breeches allows credit managers to seek adequate remedies to alleviate at-risk situations
  • Credit management through ad hoc exposure adjustment allows for temporary amendments to credit exposure
  • Flexible & time sensitive pre-trade modeling allows traders to competitively capture business in time sensitive situations by knowing credit capacity at the moment a trade opportunity arises
  • NPV, delta risk, futures equivalent & OTC Greeks are standard items that can be displayed within TwoFour’s blotters
  • Flexible configuration options allows for the modification of credit exposure methodology & the addition of new types of limits without coding
  • Robust audit & logging capabilities support regulatory requirements & easy tracking of all transaction history

Functional Highlights

  • Intra-day real-time credit exposure monitoring provides a real-time view of exposures vs. limits & enables informative intra-day risk positioning decisions. Both exposure & MTM effects are displayed in real-time
  • Supports real-time market rate feeds ensuring an up-to-date credit picture based upon the markets latest levels
  • Active “Limit Monitoring” tools allow for the increase/decrease of capacity through ad hoc exposure adjustments
  • A myriad of configuration options are supported on top of a robust core of credit exposure types. Primary credit exposure types are: counterparty, settlement, country (ultimate/resident), position, stop loss, & margin
  • For each major credit exposure type, configuration options include features like exposure netting within & across products based on limit settings or customer-defined agreements, netting, collateral offset & tenor ladders
  • Customer configuration options for credit monitoring include netting agreement settings, CLS eligibility, & customer hierarchy
  • Aggregates & validates data from multiple source systems allowing for greater management of exposures
  • Supports pre-deal trade modeling through the trade capture function or via a standalone pre-deal check screen
  • A customizable framework from which reports can be generated displaying the current credit status customers as well as breeches, limit expirations & other user-defined requirements
  • Provides real-time credit monitoring for all limits & can be configured to send limit breech notifications through both internal work queues & e-mail notifications. Overage approvals can also be driven through the work queue function

Margin Processing
Features & Benefits

  • Real-time pre-trade checks against the current value of a customer’s collateral & existing net open position enables informative decision making
  • A comprehensive configurable set of limit exposure & net open position calculations accommodate flexible definitions of exposure/net open position, NOP
  • Real-time alert generation allows for actionable mitigation of risk exposure, viewing current limits & exposures as well as their status when an alert is created. If market rates move against the customer, visual alerts are displayed in real-time blotters, even when no new trades have been entered
  • Provides configuration options for a ‘hard’ stop requiring secondary authorization to process a trade or a ‘soft’ stop where a warning message is displayed to the trader when one or more limits are broken on a transaction
  • Exposures are easily managed by a specific value date, or by a range of dates. Counterparty risk can be viewed for an individual customer or structured as a multi-level parent child hierarchy of customers
  • A customizable framework from which a number of reports can be generated displaying the margin status of all customers as well as net equity, buying power & other user-defined requirements

Functional Highlights

  • A real-time, cross asset solution for high-volume margin trading organizations looking to mitigate risk while allowing their counterparties to trade on margin
  • Supports pre-deal trade modeling through the trade capture function or via a standalone pre-deal check screen
  • Available margin can be checked at deal entry, in blotters, in reports & can be viewed in an intuitive search screen. As new trades are added, positions are updated & can be viewed instantaneously by users around the world. Margin can be checked for FX spot, forwards, swaps, vanilla & exotic FX options
  • Trade position management is facilitated through configurable margin, trade & position blotters as well as configurable screens like FX Actions featuring bulk roll utilities allowing full or selective client position rolls
  • Actionable margin alerts can be configured to generate messages both internally & externally based upon user defined parameters

VaR
TwoFour uses a variance-covariance metric to estimate VaR supported by FINCAD Analytics. Assuming that returns are normally distributed, the method estimates two factors – an expected (or average) return and a standard deviation – to plot a normal distribution curve.

 All TwoFour solutions are built in C# & MS Silverlight on Window’s .NET framework supporting MS SQL Server

TwoFour can be deployed in an ASP model or be self-hosted by the client. In addition, TwoFour offers a Managed Services solution to support both ASP & self-hosted models