Forums  > Risk Management  > 3rd party software to do VAR and risk metrics on a book of options?  
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Total Posts: 125
Joined: Nov 2005
Posted: 2016-03-16 16:30

We believe our broker's VAR model is flawed and so we'd like to find a 3rd party company to analyze a book of options. We aren't looking for a consulting firm, we want someone who already has the software built.

These are liquid, front-month options on futures. Both the futures and options are traded on CME. We aren't looking for margin calculations, we know how to do that with PC-SPAN. We are looking for VAR & risk numbers.

Our broker is moving to Imagine but the move isn't complete yet.


Total Posts: 869
Joined: Oct 2008
Posted: 2016-03-16 16:53
RiskMetrics, perhaps? While I haven't used the actual platform directly, I was the consumer of the output it generated. I recall it being mostly harmless.

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Total Posts: 1417
Joined: Jun 2004
Posted: 2016-03-16 17:59
Riskmetrics is the industry standard but is pretty expensive if I recall correctly. If it's for liquid stuff then could you roll your own?


Total Posts: 137
Joined: Nov 2008
Posted: 2016-03-17 02:00
Have you looked at Sungard, Algo (now @ IBM) or Calypso?

Having the "software already built" is a bit of a naive dream. Do you really want to trust anyone without testing their models? There's a great example of pricing an American option with Bjerksund-Stensland and getting a (small) negative price...apparently that's OK, 'cos no-one does, like, large options deals... Head against Wall

Sadly, I know too many people that have spent years of their life checking the models in these systems...and that's without the effort of making sure that the forward curves that you are using are being imported into the models correctly.

To that point - do you expect someone else to provide your curves and data???

Risk is hard to do - that's why it's often either ignored or done badly.

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Total Posts: 497
Joined: Apr 2005
Posted: 2016-03-17 12:52
Big fan of imagine for a book of (vanilla / listed) options. Very good...

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Total Posts: 1364
Joined: Mar 2004
Posted: 2016-03-17 13:47
A side note as you brought up SPAN: SPAN is also a risk number. In my view not a bad one. Depending on strategy it's quite often better than VaR as an overall measure for option books.

I'm an options guy and I very seldom had a VaR figure that I believed in at the places I've worked. In fact I've several times in my career had a VaR anti-correlated with my real risk levels..

(I'm not saying it can't be done, I'm just saying it very seldom is done well at all.)

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Total Posts: 459
Joined: Jul 2008
Posted: 2016-03-17 16:19
Try calling Markit (Portfolio Valuations).


Total Posts: 125
Joined: Nov 2005
Posted: 2016-11-28 22:55
Can anyone comment on the tools from GlobalRisk? I'm interested in their volatility shock matrix and other Firmwide Risk tools rather than the OptionTrader tools that are used to quote spreads.
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