Complete command of risk and PnL is paramount for today’s trading operation. With increasing instrument complexity, highly-automated trading and heightened regulatory pressure, risk management is a demanding yet critical component of operational success.
Itiviti Risk and PnL features powerful position-keeping functionality, enabling users to group, slice and view positions in real-time. With full auditing and trade history, traders can view risk and PnL snapshots from any point in time, with the corresponding historical market prices and theoretical pricing parameters. Leveraging Itiviti’s parameter contexts functionality, risk managers can investigate what-if scenarios such as applying a different volatility surface or performing a dry-run expiration, all while not affecting live trading. And as Itiviti-provided position calculations are implemented with the built-in Lua scripting capability, adding new risk metrics is easy and fast.
Itiviti’s stress testing and reporting apps enhance operational awareness, providing one-shot and real-time analysis for a variety of scenarios. Featuring position breakdowns, shock graphs and stress matrices, all apps are provided with full source code and can stress a multitude of variables, including custom calculations implemented in Lua.
Combined with dynamic portfolio alerts and rich bi-directional integration, Itiviti’s Risk and PnL block is fast, powerful and complete.