Hanweck is the leading provider of fully real-time exchange and “house” margin analytics. Our Volera® compute engine generates real-time, instrument-level P&L vectors configured to exchange standard methodologies. Hanweck's Portfolio Risk Analytics combines these P&L vectors with real-time position information using exchange aggregation and offsetting rules to compute real-time exchange margin.
Leveraging the hardware-accelerated Volera compute platform, Hanweck Portfolio Risk Analytics can easily tackle computationally intensive risk tasks such as large-scale “what-if” analysis, margin scenario analysis (i.e., how do margin requirements change with changes in the market) and margin optimization.
Supported margin methodologies include:
Hanweck generates real-time P&L vectors that conform to OCC’s risk-based portfolio margin methods and combines these vectors with customer positions.
OCC Clearing Members can benefit from Hanweck’s real-time STANS margin engine to anticipate expected OCC requirements in real-time.
Common futures exchange margin methodologies are also supported by Hanweck Portfolio Risk Analytics.
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.
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