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WORP-Risk

Offers on-line positions monitoring with real-time and on request notification when the risk thresholds are exceeded.

WORP-Risk was designed to process and manage great volumes of data both in terms of number of positions to monitor and number of financial instruments to evaluate.

The product manage risk indicators specific for financial instrument, for asset class and synthetic, and offer position, con-centration, stop loss and margins limits.

All violations and returns in range are stored and logged.

WORP-Risk also offers model portfolios compa-risons and simulation (what if) functionalities.

WORP-Risk includes a Position Server where the positions are kept constantly updated; some Evaluation Servers that calculates in real time the fair value, the volatilities, the greeks and the margins, some Risk Controllers that monitors the positions against the set risk indicators and a Risk Monitor that organizes the data and distributes them to the monitoring clients.

For derivatives instruments the product offer an ample coverage by integrating the native algorthms of IDeM, Eurex, Euronext-Liffe, CME, CBOT, CBOE, NYMEX, COMEX and ICE markets.

WORP-Risk offers two ways to notify violations. In real time mode the system recalculates real-time positions variations on the basis of the markets data and report any violations through a specific monitoring client, while in on request mode the system allows users to select the dossiers to be analysed against one or more risk indicators.

WORP-Risk manages the following risk indicators types: a) for financial instruments based on financial leverage (initial theoretical margins, greeks, duration and spread against interest rates curves); b) for classes of homogeneous securities (greeks calculation for derivatives portfolios, duration calculation for bond portfolios; c) synthetic for evaluation of heterogeneous portfolios (total countervalue, concentration, stop loss and margins).

Example of available risk indicators includes: Risk Degree (margin requirements for derivatives position / total asset including margins and collaterals); Financial leverage (sum of derivatives position expressed in futures equivalent / total asset including margins and collaterals); Polar 55 for short open position monitoring (maximum potential loss agreed with client/ total asset).

The WORP-Risk simulations module, utilizes dedicated instances of the Evaluation Servers, this allows users to define price changes and volatilities scenarios, unlike those expressed by the market and to verify the impact these scenarios of volatility shifts, underlying shock, etc., could have on the risk indicators and ultimately on customers asset.