FinPlusRiskPLExplain

Market risks (sensitivities), carry, P&L and some explanations re sensitivities.

• Full P&L real-time and eod.
• Delta and gamma sensitivities.
• P&L first and second order explanation.
• Carry both curve roll-down and cost of funding.

• Best performance methods applicable per product.

• Aggregation of cash flows for increased performance, where best method applies.

• Price based products direct to FinPlusMarketMakers market levels, best method for price based.

Note for market sensitivities given a lack of stochastic ability we will use a bump and grind deterministic approach.

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Example Application

• Product allows for risk/position management, trade execution/processing and market making hybrid tools.
• Template query driven nature both service/client allows you to drill into risks, P&L, P&L explains, any view using the same config templates.
• Seperate analytics with each template/service, multiple instances of analytics for lower latencies.
• Templates per book/curve for lower latencies if required.

• Clients can be started by menu configs attached to any view containing Book ids, see TradeBooksClient.

• Query driven conext menus make it simple to add menu items for firm wide positions re instruments, context config driven menus can have a mutli-facit of uses and they only take 5 min to add.
• Item menu example, linking to child view.

Part of parent config.

<a href="#">    
     <MenuItem Id="ContextMenuChartData" FunctionName="FinPlusMenuItem" Header="Data Ctrl+_D"  
      Icon="STable" Action="ChartData" Params="[instrument],[Instrument]" />
</a>

Part of child config, note you can either parse to segment in component param re where clause or as complete param.

<a href="#">    
      <Item Name="Parms" Value="[group],Trade;[type],Select;[where],Name='Book' And Value='[book]'" />
</a>

Note ideal concept for server farms and grids, switch out wcf host stub.

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Templates

• Break solutions into multiple services for lower latencies.
• Services shared by parents services and clients, maximise hardware usage and minimise network load.

Template	Type
TradeBooks.view	Switchboard view.
MarketRiskExplain.view	Explain view.
MarketValuation.view	Valuation view.
MarketRisk.view	Risk view.
PnLExplain.service	Explain parent service.
PnLEvaluate.service	Valuation parent service.
DeltaEvaluate.service	Risk parent service.
Delta1bpOpen.service	Risk child service.
Delta1bpNewBiz.service	Risk child service.
Delta10bpOpen.service	Risk child service.
PvLive.service	PnL child service.
PvNewBiz.service	PnL child service.
PvClose.service	PnL child service.
PvOpen.service	PnL child service.
MarketLive.service	Market child service.
MarketPrev.service	Market child service.

• Components not only config driven but query driven, where clause can be used for configs with further distribution.
• Multiple shocks can be added to a single service or for lower latency multiple services per shock.

<a href="#">   
    <Item name="ControlString" value="NPV:Double;Error:String" />
    <Item name="Shocks" value="EUR_3M_YC:-1;EUR_6M_YC:-1;BTPS_6M_BC:-1; etc" />
</a>

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Risk P&L Explain

Position/Risks/P&L interpretation can vary.

• Per sensitivites across curves and vol surfs, general firm wide standard.
• Risk at maturity not across a curve, which we do not advocte.
• Out/underperformace of hedging instruments/benchmarks, flow desk preference.
• PCA re vol/correlation to hedging instruments/benchmarks, flow desk preference.
• Cash flows risky or none risky, simple method flow netting
• Cash gap re funding see FinPlusRepoCashGap, repo desk.
• Position strategies, prop desk preference.
• MVar/DVar (deterministic/stochastic percentile potential loss), risk/business management preference.

Note business areas can use multiple methods to manage a single book.

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