Hanweck is the leading provider of real-time exchange and “house” margin analytics. Our Volera® compute engine generates real-time, instrument-level P&L vectors that conform to exchange standard methodologies. These P&L vectors can be combined with in-house or third-party risk solutions to compute real-time exchange margin.
Leveraging the hardware-accelerated Volera compute platform, these P&L vectors are a special-case application of scenario analysis. They are a powerful tool for managing pre- and post-trade risk and anticipating end-of-day clearinghouse requirements.
Supported margin methodologies include:
Hanweck generates real-time P&L vectors that conform to the Options Clearing Corporation's risk-based portfolio margin methods.
Common futures exchange margin methodologies are also supported.
Customized scenarios can also be created to client specification to create custom methodologies for “house” margin methodologies that augment statutory minimums.
The common approach used by other vendors is to perform intra-day updates using real-time positions but prior-day clearing house risk files. This dramatically limits a customer's ability to assess the risk and margin impacts of non-linear instruments in volatile markets. Hanweck dispenses with the static risk file and computes the risk vectors in real-time, enabling up-to-the-second margin requirements that fully capture current market conditions.