Risk Management

Nirvana’s Risk Management module allows clients to aggregate all positions, transactions, accounts, asset classes, cash and currencies in a single real-time customized dashboard. The risk engine calculates implied volatility and delta adjusted exposures in real-time for all positions. Moreover, all ETF and “Delta 1” products are calculated based on exposures to allow the risk manager to correctly monitor long and short risk. The output can be viewed in numerical value or in graphical format. Clients can also run advanced analytics, including shock analyses where different parameters like volatility and underlying price can be simulated to analyze the impact on PNL and exposures. Nirvana has also partnered with third-party vendors for the calculation of VaR and other advanced Stress Testing needs.

Key Features

Multi Asset Class & Multi Currency

Supports major asset classes: Global Equities, Futures, Forwards, Options, Swaps, OTC Instruments, and Fixed Income.

Real Time Consolidation

Consolidates in real-time, across all positions and accounts. Provides a view to a single PNL and exposure number in a base currency with one click to drill down to specific position level risks. Seamless grouping of data where all securities of the same issuer can be grouped to view issuer delta-adjusted exposure.

Advanced Risk Analytics

Integrates an analytics module, allowing clients to run shock analytics by shifting volatility, underlying price, interest rates, and time to expiration. Provides a flexible grid and graphical view of outputs, including all Options Greek.

VaR and Stress Testing

Integrates third-party models, allowing one click VaR and correlation-based stress testing. Clients can choose from several available models.