Risk

AlphaDesk provides risk management tools that are fully integrated with the investment process. There is no need to export positions to an external risk system, and the risk measures are available in real-time as an integral part of the order management and portfolio management functionalities. Risk can be assessed at all stages alongside performance and other portfolio metrics.

  • Market Risk. The system provides multiple real-time measures of market exposure including market value, delta adjusted exposure, and beta adjusted exposure.
  • Value at Risk An integrated VaR report provides historical VaR at different confidence levels including incremental and contribution VaR. VaR can be broken down by factors such as sector, strategy, currency, etc.
  • Option Risk. Real time option risk calculations provide delta, gamma, vega, theta, and rho and these can be aggregated across positions and risk categories.
  • Liquidity Risk. AlphaDesk measures liquidity risk based on trading volume and estimated days to liquidate for each position.
  • Interest Rate Risk. Interest rate risk is calculated in real-time as the price value of a basis point (PV01) which can be aggregated across securities, maturities, currencies etc.
  • Credit Risk. The system calculates CR01 for corporate debt and CDS. These risk measures, together with other exposure measures such as total market value, can be aggregated by the underlying company to give a total exposure across all security types.