Currency options pricing outfit SuperDerivatives has launched a fully-fledged foreign exchange (FX) options risk management system.
SuperDerivatives says its risk management system (SDRM) was designed using feedback from option traders and has been tested by several banks. SDRM will include access to the vendor's options pricing engine, providing users with real-time market rates for all option classes on almost all currencies. Real-time rates can be fed into the system directly from other sources.
The system is fully customisable and includes risk analysis and reporting tools. SDRM can be set to monitor portfolios from the level of the trader, the desk subset or the entire bank to the level of individual client's portfolio. This will help institutions monitor their credit lines more accurately and efficiently, says the vendor.
As well as monitoring standard daily procedures, SDRM can also be used for treasury operations such as report generation for traders and back office controllers.
The new system will contain numerous classes of exotic options with accurate risk analysis that takes into account term structure effects on prices and bucketing risk. Banks will be able to monitor the risk profiles of the most popular exotic options.
David Gershon, chief executive of SuperDerivatives, says: "If option portfolios reside in systems than cannot accurately revalue them, then institutions will always remain vulnerable to sudden unexpected losses and luck of transparency between the trading desk and the back office. With SDRM, institutions can be comfortable that their risk levels and their reported profit and losses are being accurately quantified."
SuperDerivatives says it will now operate in two divisions - one division will continue to develop its derivatives pricing Web site while the other will develop in-house features for the risk management system.