Pricing & Risk Analytics

Risk computation for cross-asset portfolios on a large scale, for both batch and real-time risk. The Torstone RiskMine derives and orchestrates risk calculations for Market and Credit Risk that can be executed on a massive scale using distributed computation integrated with Front Office pricing libraries. It helps firms achieve a single risk compute environment for market, credit and regulatory risk and capital requirements, while reducing reconciliation challenges.

RiskMine provide a modular and federated framework for scenario computation, delivering internal and regulatory stress tests for many use cases and scaling with business requirements.

Pricing Models

RiskMine provides a comprehensive analytics library to price a range of equity and fixed income products from vanilla options to complex multi-underlying assets for equity derivatives and credit derivatives. The library incorporates flexible and generic models with partial differential equation (PDE) and Monte-Carlo based solvers that have been embedded into trading systems and risk engines in production usage for many years. The library also provides an Excel add-in for ease of use on the desktop for bespoke product development.

SCENARIO ANALYSIS

Compute User-driven stress tests alongside systematic built-in scenarios. Centralised scenario generators allow stress tests, calculations like VaR, Expected Shortfall, CRM, IRC and many more to be created and maintained by Risk Management on a unified platform.

DISTRIBUTED COMPUTATION

Use Front Office pricing models in a federated methodology to create distributed calculation farms, on premises or in the cloud.

What-if scenarios, VaR, Stressed VaR, Expected Shortfall and many other forms of scenario analysis made possible by powerful, modular technology. RiskMine is designed to optimise investment in hardware and utilise elastic computing. RiskMine delivers flexibility and future adaptability.

Find out how Torstone Technology can streamline your operations. Contact one of our specialists today at enquiries@torstonetech.com