Risk Management
Comprehensive risk management
NRGWeave's Risk Management suite offers a 360-degree view of portfolio risk. The calculation of the Value at Risk (parametric, historical and Monte Carlo) and stress tests allows you to quantify the exposure in each scenario. The Hedging Optimizer automatically suggests optimal hedges, while the Greeks module monitors portfolio sensitivities in real time. For OTC derivatives, the CVA/DVA engine calculates counterparty credit risk according to Basel best practices. The Credit Risk module and Collateral management complete the picture with limit monitoring and margin management.
Capabilities
Everything you need to get the most out of this module.
Value at Risk
VaR calculation with three methodologies — parametric, historical simulation and Monte Carlo — at portfolio, desk and individual position level
Stress Test
Predefined stress scenarios (energy crisis, extreme volatility) and custom on portfolio and individual positions with P&L impact
Greeks
Calculation and real-time monitoring of Delta, Gamma, Vega, Theta and Rho for each instrument and at an aggregate level
Hedging Optimizer
Optimization algorithm that suggests minimum cost hedges while respecting risk and liquidity constraints
CVA/DVA Engine
Credit and Debit Value Adjustment for OTC derivatives with Monte Carlo simulation of future exposures
Credit Risk
Counterparty scoring, credit limit monitoring, early warning on deterioration and integration with external ratings
Collateral Management
Management of initial and variation margins, haircut calculation, optimization of collateral allocation
Use Cases
Real scenarios where this module makes the difference.
Daily VaR report
The risk manager generates the portfolio VaR report with breakdown by desk, market and instrument for the risk committee.
Automatic hedging
The optimizer suggests hedges for a new forward position, balancing hedge cost and risk reduction.
Credit limit monitoring
Automatic alert when exposure to a counterparty exceeds 80% of the limit with suggestion of corrective actions.
Key Benefits
Who Is It For
Available in Plans
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