Product

Independent Valuation and Risk Analytics (IVRA)

Advanced, hosted Independent Valuation, Pricing, Hedging and Risk Monitoring including VaR and Stress Testing

Kinaesis Wave
The Problem

Investors and regulators are demanding increasing levels of control over pricing and valuations. Regulatory responsibilities of an ACD (Authorised Corporate Director) include the need to provide independent controls.

The systems and quantitative capabilities required to support independent risk and valuations capabilities for complex derivatives are too onerous, and costly for many firms.

Asset managers internal systems often lack the ability to add new products quickly or to run new risk scenarios. Banks with run off portfolios are having to maintain costly internal systems infrastructure and expertise, to support non-core portfolios.

The Solution

Kinaesis, with our partners CloudRisk, provide a flexible and scalable service for Hedge Funds, Banks, Asset Managers and Third Party Administrators. It is an on-demand, interactive service, delivered via software as a service package which includes independent valuation, pricing, hedging, risk monitoring and client reporting.

The service provides our clients with full model transparency and is designed to handle the most complex and exotic products. The service also includes access to a significant model library, which can be combined and enhanced for bespoke modelling engagements and consulting from our quantitative experts.

VolSurface

Key features

Kinaesis CloudRisk provides valuations and risk advisory for a wide set of products including:

  • Structured Credit (CDO, CLN, CDS, NthToDefault, CDS and Index Options etc.)
  • Equities (Futures, Exchange Traded Options on Indices and on Futures etc.)
  • Interest Rates (Bonds, Swaps, Caps/Floors, Swaptions)
  • Commodities (Options and Swaps on baskets and single underlyings, Time Spread options, Interconnectors etc.)
  • FX (Barriers, American digitals/binaries, Multicurrency and other second generation options)

Cross Correlation

Our services are in daily use by Hedge Funds and Banks for hedging, price validation, risk monitoring/management and customer reporting.

All our subscription based services are delivered as SaaS (Software as a Service) and are deployed and operated on CloudRisk’s own infrastructure and do not require any additional installation on customer’s infrastructure.

Scenario

Valuations and Risk are delivered at predetermined frequency as customized reports or integrated in customers’ risk management system:

  • Daily (EOD, BOD)
  • Weekly
  • Monthly

On-Demand Valuation and Risk:

  • Excel Add-In – provides flexible and convenient way for building bespoke and on demand Pricing, Valuation, Risk and Stress-Testing Excel based applications.

Excel

  • JSON web API – lightweight API allowing for an on-demand integration of customers’ own internal trading and risk platforms with the valuation and risk service.
How it works

CloudRisk’s in-house developed technology platform CANTOR is specifically designed to support the complex and exotic derivative products. It utilises cutting edge grid, cloud and GPU technologies in order to satisfy the huge computational requirements of the modern valuation analytics while providing our customers with an interactive and on-demand platform.

CANTOR’s scalability goes beyond the standard capabilities of performing scheduled or on-demand calculations but is able as well to deliver real-time valuations and risk analysis across the full range of supported products.

CANTOR provides as well exceptional flexibility in managing market and trade data. It supports multiple end-of-day market data sets and multiple market data sources including standard data providers and user input.

The platform’s flexibility allows as well for proprietary customer valuation modules or libraries to be used in the calculations for all of the customer portfolios or individual instruments.

Architecture

Case Study
Their Problem

Our client had a range of complex products including equity derivatives (single and multi-index/equity baskets with path dependent payoffs); commodity and FX baskets with structured payoffs; interest rate derivatives including swaptions and structured swaps; single name and index credit default swaps.

They needed a solution that could provide valuations, exposures, leverage and sensitivities on a daily basis and delivered by 1pm for a 12pm price point. The client needed quantitative expertise and support for the price challenge process. The client also needed to satisfy the regulatory requirements of an ACD for the fund.

How We Helped

Kinaesis was able to offer through the joint venture with CloudRisk, an end to end Independent Valuation and Risk Analytics Service. The solution includes market data, valuation and risk calculations, quantitative services and reporting.

Key Victories

The range of products were quickly on-boarded from analysis of term sheets and security codes. Full audit trail and transparency was provided through model and approach documentation. A collaborative approach involved agreeing the right modelling approach.

The daily service provided the information in a timely manner therefore enabling support of internal NAV calculation processes. Delivery of the daily risk sensitivities and exposures enabled the client to adhere to their responsibilities as an ACD. The service was provided at a significantly lower price than other alternatives considered.

Do you need help with this?
Benjamin Peterson
Benjamin Peterson
Other team members
Allan Eyears
Allan Eyears
Head of Delivery
Barney Walker
Barney Walker
Head of Banking Practice
Julian Naylor
Julian Naylor
COO

Meet the whole team →