Cboe Global Markets

Portfolio Risk

Real-time risk analysis at the portfolio level.

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Cboe Hanweck's Portfolio Risk Analytics converges our Options Analytics' real-time security level risk data and scenarios with client portfolio data and client preferred risk models. Our solution applies market data and position risk exposure data to the updating client portfolio to generate risk results.

  • Portfolio Margin Risk.
  • Scenario and Historical Value-at-Risk (VaR).
  • Covariance or Factor Model (e.g., Barra type models).

Cboe Hanweck's solution can flexibly integrate with client position systems in order to maintain the current state of client portfolios.

  • High-performance service to meet the full range of real-time needs.
  • Pre-trade applications including risk checks and what-if analysis.
  • Post-trade risk summary and analysis.

Exposures

Generates real-time portfolio net security or factor/group exposures.

  • Applies Cboe Hanweck Options Analytics and additional security level sensitivities.
  • Generates real-time portfolio net security or factor/group exposures.

Scenario and Simulation or Parametric and Factor Risk

Integrates with:
  • Cboe Historical Data.
  • Other sources for simulation-based risk.
  • Proprietary and commercial risk models for parametric, factor-based solutions.