Sensitivities & Hedging

Trading and managing portfolio risk has changed significantly for buy-side and sell-side market participants in light of new market advances and regulatory pressures. Managing collateral, margin, risk analytics and additional curve construction methodologies for your portfolio is now required and understanding the impact new trades or unwinds have on risk exposures is critical. Not only does your system need to be able to accurately value additional trades - whether vanilla or exotic - it also needs to calculate all risk sensitivities. This requires an analytics framework that can be used across multiple asset classes and currencies.

FINCAD's solution provides you with the sensitivity information you need for effective hedging and risk management. You get risk sensitivities to all market data points, and hedging notionals calculated on first order risk that enable you to mitigate risk exposures–giving you complete transparency into your portfolio and the critical information needed to make informed decisions.

A Better Way to Look at Risk

By utilizing FINCAD's patent-pending, Universal Risk Technology™ (URT), a robust fusion of calculus and cutting edge software engineering, you avoid the inaccuracies that are inherent in sensitivities calculated using finite difference methods (also known as bumping) and provides the information in a fraction of the time:

  • Accurate - URT produces exact analytical results instead of approximations produced by bumping. All sensitivities are automatically propagated through any calibration process so you can now see the sensitivities for each market data instrument, and not just intermediate model parameters.
  • Universal and efficient - First order sensitivities of price to market data can be calculated analytically immediately and precisely for any possible exposure point and for any trade.
  • Comprehensive Risk - Obtain a wide-range of numerical sensitivities (e.g. Greeks, Key Rate Duration, DV01, Individual deltas and more.) on individual trades or your portfolio.
  • Faster Calculations - No need for bumping which is resource intensive. Our solution produces comprehensive and accurate risk information in significantly less time.

Find the Best Hedging Strategy for your Organization

FINCAD solutions provide greater flexibility and risk information so you can make the right changes to your portfolio:

  • Define Hedging Strategies - Hedging strategies can include cross-asset and multi-currency instruments. Hedging portfolios can be combined with trading strategies to analyze risk adjusted returns.
  • Hedge Away your Risk - As part of the risk report, URT allows you to identify critical risk factors and provides you with the notional amounts needed to hedge away the risk in your portfolio.
  • Results On-demand - Modeling assumptions can be changed 'on the fly' so you can see the impact on your risk exposure by modifying inputs to the valuation/calculation.

For more information about FINCAD's sensitivity and hedging solutions, request a customized demonstration.

Sensitivities & Hedging - FINCAD Solutions
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