Products

Financial Instrument Coverage

Risk Engine covers the following (financial) instruments:

  • Equities:
    • Shares;
    • Funds;
    • Commodities;
    • Index-linked Cash;
    • Private Equities.
  • Capital instruments with optionally embedded spread risk:
    • Bonds: straight, floater, inflation;
    • Money Markets: bullet, capitalisation, rollover;
    • Loans: annuity, regular (fix, float);
    • Deposits: savings, user-defined;
    • Swaps: FX, CC, IR (fix/fix, fix/float, float/float);
    • UVG;
    • Other: cash accounts, CDS, credit line, FRA, FX Outright;
    • User-defined by Rule-Based Instruments (RBI).
  • Derivatives:
    • Option on bond future, commodity, FX, IR, stock, stock index;
    • Swaption;
    • Cap / Floor;
    • Futures on bond, commodity, FX, IR, stock index;
    • CFD on instrument, stock index;
    • User-defined by RBI.
  • Modelling and pricing of structured products and exotics through RBI:
    • A multi-factor trigger market defines market factors in future time points.
    • Expectations for future values, volatility and correlation are used in triggering market simulation.
    • Free-behaviour definition of structured products, based on pay off expressions.
    • Simulation of price distribution: calculation of mean, risk and other figures.
  • Modelling and pricing of structured products and exotics using the multi-factor approach:
    • A sub-set of known market factors with time series (e.g. rates, prices, indexes, etc.), is selected from a large set of factors, using similarity search to target product time series.
    • A regression is used to find a pricing expression, including known factor sub-sets, weights and functions, such as exp, log, power, etc.
    • The pricing expression replicates the product’s historical behaviour and can be used for pricing calculations, as well as for predictions of the instrument’s future behaviour.