Victor Securities offers the DJALI Risk Management Application, providing a way to view real-time risk, margin, and volatility information with no need for integration or programming. Hosted on our servers and served remotely under our Software as a Service (SaaS) model, DJALI allows a trader, risk manager, or investor to view Victor provided risk analytics including derivative theoretical pricing, real-time market implied volatilities, and real-time calculated customer portfolio margin values.

The DJALI Platform leverages NVIDIA GPU® technology to provide real-time calculation of theoretical values for listed derivatives held within your portfolio, using market-implied volatilities to ensure constant updating of options and future prices. The DJALI platform also provides stress testing of a portfolio across price and volatility movements, providing a view of how market movement will impact profitability and derivatives exposure.

Real-Time Portfolio Risk
The Portfolio Risk module offers a real-time, constantly-updated view of an accounts positions, valuations, and calculated risk metrics. Positions are updated as executions are received from trading counterparties, and derivative theoretical values are updated with each price movement within the marketplace.

Multiple hierarchies allow viewing of portfolio positions across firms, accounts and arbitrary groupings of accounts. Drill-downs allow both summarization of risk values, as well as access to risk metrics for individual positions, underlyings, or sectors.

 

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Portfolio Stress Testing
The Portfolio Stress Testing module allows positions contained within a Firm, Account, Sector, or Underlying Security to be stressed across price and volatility levels. Stress tests may be applied to Profit/Loss, Delta, and Gamma values, with output available both on a percentage or standard deviation of price movement across each security. The stress testing module runs in real time and continuously updates the stress values – thus providing accurate risk exposure whether you receive it as a feed, on demand or using our Djali platform.

Within the Djali application, Stress Filter allows a risk manager to view stress testing on a portfolio, account, sector, or position underlying basis and quickly change views across any silo. Stress testing is displayed via a heat map to quickly display areas that require further focus from a risk manager, or areas that surpass pre-defined thresholds.

 

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Intraday Margin Calculations
The Portfolio Margin module offers a view of regulatory margin requirements based on the OCC CPM methodology during the trading day, allowing a user to better manage their OCC as well as house margin requirements. Victor’s CPM engine provides updated stress testing of each position based on OCC-defined stress levels, and aggregates output into the OCC defined Product/Class hierarchy.

The Victor Portfolio Margin module offers both OCC-specific regulatory margin calculations, as well as house-rule based margin calculations that are specified by each specific custodian member. In addition, the module automatically provides real-time updates based on the result of new executions and/or position updates made to a trading account.

 

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