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STERLING RISK SYSTEM

A Cloud-Based Solution That Continuously Calculates Real-Time Risk Values for Portfolio Margin Accounts

Advanced risk analytics that are easy to utilize on a daily basis, cost effective to implement, deploy and use without the need for a large software implementation.

ABOUT THE STERLING RISK SYSTEM

Sterling Risk Engine (“SRE”) is a robust, real time, cloud-based, post-trade market risk and regulatory margin haircut calculation system for clearing firms, broker/dealers, prop or retail trading firms and hedge funds. It’s flexible, cutting edge technical architecture offers several delivery options with a low cost to implement.

The SRE is built with advanced options valuation technology providing the industry with a robust, sophisticated risk platform allowing our clients to monitor their own and their clients’ exposure as well as calculate regulatory margin requirements.

CLICK HERE TO REQUEST ADDITIONAL INFORMATION

KEY FEATURES:

  • Intraday, real-time risk-based haircuts, customer portfolio margin based on the OCC TIMS methodology, RegT Margin and SPAN Margin
  • Calculates risk and greeks due to market shocks and volatility shifts at user-defined levels
  • Supports equity and futures markets calculating risk and haircuts with cross margin offsets between the two
  • Flexible API’s for updating positions, cash balance and margin rates as well as support of standard file loads and FIX drops
  • Calculated margin and risk values are available via the API
  • Full featured, ultra-modern, web-based GUI which offers complete portability
  • Highly scalable cloud-based engine which can support large volumes of accounts and positions and deliver calculations in near real-time
  • Customizable calculations for support of user defined house policies
  • Allows for monitoring of risk and margin with user-defined email alerts
  • Displays previous close and the price change for the day

RISK ANALYTICS INCLUDE:

  • Risk shocks including parallel, Beta, volatility adjusted and Standard Deviation-based
  • Displays detailed risk and Greeks by portfolio and symbol
  • Concentration Risk based on Market cap
  • Liquidity risk analysis
  • Horizon and post-expiration risk
  • Specific risk analysis based on Standard Deviations
  • Full revaluation historical simulation Value at Risk (VaR) and CVa
  • Market values, delta adjusted exposures and leverage calculations
  • Intraday Portfolio margin / RBH estimates based on current market and IV’s
  • RegT maintenance requirements using the universal spread rule for options
  • Instant what-if simulations and analysis of risk of ad-hoc portfolios
  • Custom house margin and risk policy calculations, both intraday and end-of-day

THE STERLING TRADING TECH SOLUTION:

The STT solution consists of 3 components:

Each of which are abstracted – thus only the components required by the user can be deployed.

DELIVERY METHODS:

The service operates in “Request/response” mode or “Continuous Update” mode.

Request/Response is the preferred mode for SRE, in which a user can send the positions in a portfolio, in the form of a simple message format and receives a response back with both the total margin requirement as well as line by line details for each position.

SRE offers ability to request the shocks for a given options contract or subscribe to a continuous feed of the value and greeks. From a technology set up perspective, we offer two distinct services:

SOPHISTICATED ANALYTICS & CUTTING EDGE TECHNOLOGY:

Combining the power of big data and sophisticated quantitative modelling techniques, Sterling RSQ products are built using a unique “mesh” based algorithm that allows it to calculate real time options volatility, theoretical values and greeks extremely fast using stock hardware with little specialized code.

This breakthrough in options pricing analytics allows the implementation a large set of market shocks and calculate them continuously for the entire market in real time without the use of specialized hardware stacks and software.

Contact us to learn how quickly and cost effectively your Real Time Risk & Margin Solution can be deployed.

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