End-User Tools for Quants and Traders

Trading and Risk Screens

Risk analytics should be delivered to multiple screens with consistent data, but with different, dynamic views depending on the end-user. Pre-trade analytics should be just as robust as post-trade, and the analysis should be driven by the end-user, not IT. In other words, a trader should be able to perform ad-hoc analysis live using flexible portfolio construction and with complex (i.e. realistic) risk analytics. At the same time, a risk manager would want to see slower, but more comprehensive analysis done on the same portfolio. Or perhaps see the impact on overall risk as a result of changes to a single desk strategy, creating live, firm-wide analysis based on individual trader's actions or strategies.

What-if scenarios and proposed trades need to be able to be provided by users, made part of the shared calculation workload, and subject to scrutiny by other traders and risk managers before execution.

The OpenGamma Platform allows any calculation supported in batch mode to be calculated live, including:

• Sensitivities, measuring the impact of market movements on e.g. P&L or for delta hedging;
• Aggregate risk measures like VaR and expected shortfall, which provide a statistical summary of a portfolio's behaviour;
• Scenario analysis, looking at the behaviour of a portfolio given a set of market movements, either historical (e.g. Lehman Brothers) or hypothetical (such as Crude Oil above a certain level).

Data output can be delivered to any user interface via our state-of-the-art Web GUI, our comprehensive set of APIs, or via our extensive Excel Integration Module.

Configurable without IT Support

Most legacy risk systems require direct IT support to modify or add to the pool of risk calculations performed for trading or risk management use. This is inherent in the way they were designed - usually many years before the birth of many of the instruments you are actively trading.

Market conditions now require changes to computations in the middle of the trading day when volatility demands it. The OpenGamma Platform is designed from the ground up to allow end-users to add, remove, or modify computations performed at runtime. This way they can apply the correct metrics to changing market conditions as they happen. Appropriate security and change control mechanisms are built in to prevent any breach of regulatory or audit requirements, and approval check-points can be added before any real-time changes are made.

New Instrument Support

Front Office and Risk IT teams often struggle to keep up with new securities emerging from the trading teams. Closed vendor-supplied systems prevent firms from adding new instruments themselves, often requiring vendor support (always in the next release, always at least a few months away) to support new instruments. A change request via a third-party vendor is hardly going to provide the necessary update to actual risk calculations within a reasonable time-frame. Even a system that only requires in-house IT to affect a change will be too slow for exotic, hybrid, and structured products desks trading off of Excel waterfall models.

For example, if a bank wants to do a customised hedge for a client, a structured product is usually created to capture the unique requirements of the client. As this will be a new instrument, it may not be automatically supported by existing trading and risk systems. But traders can't wait weeks, or months, to see risk data on this instrument. Instead, the uniquely flexible way the OpenGamma Platform handles new security types allows traders to go quickly from the idea stage to trading stage and to supply overnight risk on the new instrument, with minimal touches from in-house IT, measured in seconds or minutes, not days, weeks or months.

The benefits of all this are clear: a much more responsive environment for the end-users who get live information on actual risk exposure when they need it, and much more efficient use of IT resources who can concentrate on important system developments instead of unscheduled and ad-hoc user requests.

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