SuperD launches risk system

The move was prompted by the growing use of exotic options as well as the increasing commoditisation of the vanilla market, which has seen many banks provide online vanilla option trading platforms to their customers, said David Gershon, chief executive of SuperDerivatives in London. "These two trends have created a very real need for a sophisticated and flexible options risk management system."

SDRM -- the SuperDerivatives Risk Management system -- allows the client to analyse single options or portfolios in real time on more than 80 types of options and 50 currency pairs. Traders and sales staff will be able to use SuperDerivatives to price, analyse and then enter deals into SDRM with a single button click, said Gershon.

Although the firm’s currency options pricing system -- now dubbed SDFX -- and SDRM are separate systems, they communicate with each other to provide full straight-through processing, said Gershon. "The SDFX system provides the means to book deals into the SDRM system -- they are integrated so the client can have pricing, analysing and management of positions all from one platform," he said. "The client clicks a button on SDFX to book the deals into SDRM. When they want to view deals from the blotter they can also see the deals on SDFX."

P&L and Greeks for the risk engine are therefore all based on live real-time market prices from the SuperDerivatives calculation engine rather than theoretical values, he added.

Local installation

Unlike SDFX, the new risk management product is not web-based but is installed locally. A key selling point of the new product will be that buyers of SDRM can also opt to have their SDFX system locally installed, said Gershon.

The system will help institutions monitor their credit lines more accurately and efficiently, as it can be set to allow monitoring of portfolios from the level of the trader, the desk and the entire bank as well as to an individual client’s portfolio or any subset portfolio that the user defines. It will also incorporate exotic options with risk analysis that takes into account term structure effects on prices and bucketing risk.

No clients of the new system have yet been announced, but SuperDerivatives has demonstrated it to about 15 banks. Their feedback has since been incorporated into the system, Gershon said.

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