A fundamental risk management technique is to measure the P&L impact of changes to market conditions. Volera® Scenario Analysis offers you the ability to see how changes in price, volatility and the passage of time will affect individual securities across the complete universe of listed options and futures. The P&L scenarios for each security are delivered in the familiar form of a data feed. The data feed can be easily combined with in-house risk and position management systems thereby protecting sensitive proprietary portfolio information.
For each scenario, you can specify different market conditions for individual securities in an easy to understand manner.
Volera Scenario Analysis is a customizable set of individual scenarios combined into a vector of profit-and-loss calculations delivered as a data feed. Hanweck does the heavy computational processing and presents the analytics in a familiar and easy-to-integrate format – just like any other data feed.
Most exchange portfolio margin calculations are based on scenario analysis techniques – methodologies such as OCC TIMS and CME SPAN® are examples. Volera publishes special-case P&L vectors that conform to many exchange margin methodologies.