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CleaRisQ - Real-Time Risk Management Software

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Is your risk management robust enough to face imminent change?

Clearing houses are facing fundamental changes with impact on their business models as the implementation of new regulatory provisions such as Dodd-Frank, CPSS-IOSCO, and EMIR is becoming imminent. The key challenges for clearing houses are to benefit from the changing environment in order (i) to increase competitiveness and to ensure regulatory compliance and (ii) to enhance their risk infrastructure. Client servicing must be improved, daily operations shall be simplified and cost efficiencies could be captured by an automation of basic services.

Our Intelligent Technology enables leading clearing houses to enhance their clearing process by applying our flexible and powerful risk management software. The sophisticated methodologies and fast algorithms support clearing houses in building competitive advantages and while adhering to increased complexity arising from regulatory compliance. This is achieved by combining the very latest CCP risk methodologies, with a real time engine technology.

Regulatory approved and standardized reporting

At swissQuant Group, we have a proven track record (about 70% global marketshare) in providing clearing houses with tailor made risk methodologies, embedded into a software, which leverages open source technologies. Our regulatory approved and standardized Intelligent Technology allows for increased operational efficiency through real-time margin calculation, stress test generation, backtesting analysis, and extensive customized reporting.

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How can our real-time risk management software support you?

swissQuant Group has developed a suite of highly flexible modules mapping the entire clearing process. CleaRisQ is a comprehensive risk management Software that accurately calculates initial margin requirements, including stress and back testing, collateral haircuts, counterparty risk, and wrong-way risk. Our proprietary risk technology and risk figures validate the collateral haircut and lower the risk on collateral Portfolios by analyzing risk concentration using sophisticated methodologies. Stress tests are run to determine whether the amount of deposited collateral and the default fund size are sufficient under adverse historical and hypothetical market conditions and hypothetical capital requirements are calculated.

Real-time margin computation

As required by regulations, intraday monitoring of margin requirements motivates the need for real-time computations of initial margin and variation margin. CleaRisQ is deployed on a scalable cluster architecture using the latest in-memory cache technologies. In this way, it enables a full re-evaluation of the portfolio risk as soon as portfolio compositions change. Previously real time calculations in the CCP industry had only been achieved when the risk methodologies were of the simple rule-based nature (as opposed to advanced Value-at-Risk/Expected Shortfall methodologies). CleaRisQ can handle a significant amount of large portfolios in a scalable way with about 1’000 trades per second (peak load: 10’000 trades per second), even when the most advanced methodologies are applied. The computation scales linearly in the number of positions in the portfolio (see graph on the top), while adding calculation nodes allows handling thousands of large portfolios with 1’000 positions (see graph on the bottom). For example to re-calculate risk figures on 5’000 portfolios each containing 1’000 positions, using 4 nodes (with 4-cores each) takes about 12 milliseconds per portfolio, and therefore about 3.75 sec. in total using all 16 cores available in this example (i.e. 5000 * 0.012 / (4*4) = 3.75).

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User-friendly interface and safe learning

CleaRisQ is the result of our longstanding experience in developing, implementing, and testing user-friendly risk management systems. It is web-based and can be opened in any browser or tablet. The intuitive User Interface ensures a smooth operation and fast results. It smoothly guides through the additional sections such as model back testing, what-if analysis, and it enables the user to learn in a safe environment.

Proven Intelligent Technology

  • Real-time risk-management

  • Latest standards in CCP risk methodology

  • Flexible, modular mapping of the entire clearing process

  • Compliance with multiple regulatory provisions

  • Platform independent and easy to integrate

  • Automatic generation of extensive data outputs

Operational efficiency in every
step of the clearing process in real-time

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Margin Monitoring

Portfolio Margining
Accurate margin requirements are calculated in real-time for large portfolios at several aggregation levels. Several Value-at-Risk (VaR) methodologies are available with a series of customized add-ons.


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Collateral
Management

Collateral Monitoring
Active Collateral Management defines dedicated concentration limits and wrong-way risk thresholds applicable to a counterparty’s collateral pool and the counterparty’s notional exposure.
calculated to ensure it remains high in case of default by a Clearing member.


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Stress Testing

Stress Testing
Stress tests are run on historical and hypothetical scenarios to check the sufficiency of the default fund. Further definitions of customized hypothetical extreme but plausible scenarios are configurable.

References

The swissQuant Group has concluded over a dozen successful implementations and validations of risk management systems. We engage some of the largest independent Quant and Technology teams in Europe dedicated to delivering lasting client value as demonstrated by the following selected reference projects:
  • Model Development and Large Scale Risk Management Software implementation, including web-based user friendly interface for a leading European Clearing House.

  • Development of risk model methodology for commodity futures and options, including a full set of model validation analytics for one of the world’s largest Clearing Houses.

  • Improved margining system of a top-tier Asian stock exchange clearing house through superior methodology and full model validation.

  • Development of risk model methodology for equity spot, futures, and options, fully compliant with the latest regulations, for a leading European Clearing House.

  • Model Validation of all initial margin models of a leading Nordic Clearing House.