What Is UnRisk For? - Updated

Jan-13, I posted what is UnRisk for

Is it still valid? Yes, nothing changed - in principle. Derivative and risk analytics serving the core business of various financial market participants and actors.

Individualization in centralized regimes?

But, the regulatory wave has brought a paradox into play. Central counter party is intended to reduce risk by standardization…but ironically, it forces certain market participants, like banks, to individualize their offerings in order to find new services and clients.

Remember, because of margin compression, OTC revenues will be / are reduced… However, central clearing also offers new revenue opportunities for banks, like execution and clearing revenues, collateral management services fees… (banks can help clients to fulfill obligations...)

Can you structure me this?

The new question: do you support xVA? needs fanning.

It's not only different for pricing, valuation and risk management, actors in various roles need different ways to deal with it. Sales, front office, risk management, controlling… practitioners and quants in interplay.

Simpler instruments became the new "structured products" under the new regimes. We were always good at valuing structured products and analyzing their contribution to risk in complex portfolios. We've put our best effort in doing it right again in the new regimes. Accuracy and speed really matter, if you need millions of valuations to get a "fair" price and risk spectra.

Technologies, development tools and solutions

The technologies behind are identical, but it will be even more important in the future to configure them for special actor groups and tasks. And enable quant developers to transform them into individual solutions for certain purposes swiftly.

You're lucky if you have a technology stack that supports this. You're even luckier if you have organized them orthogonally. And most lucky if you have created a financial language to programmatically manipulate the financial objects, contract features, frame conditions…implemented it in engines that are bank proof. We're lucky.

It empowers us to launch new products along a technology path in the near future. Exciting products - I'll keep you informed.