Course Description

Desk Risk and Hedge in Calypso

Global markets continue to evolve in response to advances in technology and the increased demands of market regulation. It is critical in today's’ environment that traders and risk managers are able to analyze risk both cross-asset and cross-border in real-time to ascertain their exposures to the various markets. This set of sophisticated risk requirements requires robust and scalable technology to manage portfolios in real-time.

To address these needs, the Calypso Desk Risk solution, a richly featured component of the Calypso cross-asset platform offers simple interfaces for quickly defining risk analyses and incorporating hypothetical hedging trades into those analyses. The application supports both risk analysis for single asset classes or across asset classes.

The openness, simplicity, and reliability of the Calypso Risk architecture ensure that risk measure and risk management is available for all the product types that Calypso supports. The methodology uses the same pricing models and market data used in both trading and Official P&L for full cross-application consistency. To ensure that the present and future business needs of customers are addressed, Calypso continues to make significant investments in Risk and Hedge development by working in close partnership with our customers.

The benefits of the Calypso Desk Risk and Hedge Solution include:

  • Simple user interfaces for easy setup
  • Risk measures based on revaluation methodology which are model-agnostic
  • MultiSensitivity feature for cross-asset risk in a single report
  • User friendly configurable display in Calypso Workstation
  • On-Demand analysis for on the fly risk analysis
  • Robust extensible scenario and scalable framework and risk architecture

Course curriculum

  • Overview

    • Desk Risk

    • Test Your Knowledge

  • Calypso Risk Framework

    • Calypso Risk Framework.

    • Overview of Risk & Risk Measures

    • Test Your Knowledge

  • Risk Report Configuration

    • Risk Report configuration - Overview

    • Risk Report configuration ( Sensitivity)

    • Risk Report Configuration (Simulation)

    • Risk Report Configuration (Option Lifecycle,Reset Risk & Jump To Default)

    • Overview of Analysis Designer

    • Rates Sensitivity Report

    • Introduction to Simulation

    • Test Your Knowledge

  • Calypso Middle Tier and Scheduled Tasks

    • Calypso Middle Tier and Scheduled Task

    • Configuring Risk Report in Calculation Server and Presentation Server

    • Configuring Analysis Set & EOD Scheduled Task Risk_Analysis

    • Test Your Knowledge

  • Calypso Workstation

    • Calypso Workstation

    • Configuring Risk Report in CWS

    • Test Your Knowledge

  • Desk Risk – Use Cases by Asset Classes

    • Desk Risk EQD Risk Reports

    • Desk Risk Fixed Income & Credit Risk Reports

    • Desk Risk FX & FXO Reporting

    • Desk Risk IRD Risk Reporting

    • Desk Risk Use Case

    • Rate & Rate Volatility Simulation Report

    • Test Your Knowledge

  • On-Demand Analysis

    • Desk Risk On-Demand Risk Reporting

    • Test Your Knowledge

  • Appendix Section

    • Calypso Desk Risk - Presentation

    • Desk Risk -Scenarios