Risk Management (Middle Office)

In the middle office, Calypso performs a full complement of risk management and control activities, including “what-if” analysis, P&L analysis, scenario analysis, cash flow analytics, VaR analysis, limits, hedge recommendations, clearing, and OTC margining.

Risk management activity is performed and monitored in Calypso’s thin-client Risk Interface. All risk management functions in Calypso are fully integrated with front office trading activity and back office processing, across all asset classes.

Risk users are able to generate risk analytics from global consolidated cross-asset views right down to granular portfolio views. Calypso’s real-time architecture means that users are able to see the immediate impact of new trades and changed market conditions on risk numbers as those changes occur.

Additionally, because Calypso’s risk framework is integral to the broader trading and processing framework, Calypso enables increased monitoring and control over all activity across the business.

Desk-Level Risk Management

Calypso strives to meet and exceed the challenges facing desk level risk managers by providing decision support and analytics for calculating cross-asset P&L, risk sensitivities, hedge effectiveness analysis, portfolio stress testing and scenario analysis. Calypso provides full drill-down functionality enabling detailed analysis of positions and limits, by trade, by portfolio or by counterparty – in real-time via our powerful, thin-client called Calypso Workstation. Our comprehensive scenario analysis tools allow for the perturbation of market rates to view the impact of on P&L attribution.

Market Risk

To monitor and manage periodic, intraday, and real-time market risk exposures, traders, analysts, portfolio managers, and middle office risk managers use Calypso’s risk analysis tools to maximize the risk adjusted returns on their portfolio. Our scenario analysis tool is user-friendly, and it works across all asset classes. It applies simultaneous or sequential perturbations of market data and measures the portfolio sensitivity to these hypothetical market movements

Counterparty/Trading Limits

Calypso provides a comprehensive limits module for monitoring and managing real-time and intra-day counterparty trading limits across a variety of risk categories:

• Settlement Risk
• Credit Exposure
• Issuer Risk
• Market Risk (VaR, Stress, Greeks)
• Tenor Limits
• Limit Breaches
• Real-time Limit Utilization and Excess Management
• Complex Limit and Netting Hierarchy