Vector Risk

Vector Risk is a global leader in providing high-performance analytics hosted on cloud technology, including VAR, FRTB SA & IMA, PFE, xVA, SACCR, and ISDA SIMM.

Built for the cloud. Engineered for speed.

Unlike many organisations that simply "lifted and shifted" their legacy software onto the cloud, Vector Risk built a native cloud solution to maximise delivery, support, and upgrade capabilities. Delivered as a true SaaS offering and backed by decades of expertise, this architecture allows us to provision and configure analytics at lightning speed, so you see results in a matter of weeks. Our services are pre-configured for all Teciem trading platforms and ICE Data Services IPA, making integration a snap.


Recognised through industry awards and the backing of global partners, our analytics are trusted worldwide. To support this global customer base, we maintain active cloud deployments across North America, Europe, Australia, and Asia.

Our Models

Get Detailed Overview of Cloud Based Solution Models

Market Risk

A fully featured Historical or Monte Carlo VAR calculation. Specify attributions for VAR (breakdown by market segment), proxying of rates, confidence interval, and any risk roll-ups up to global VAR. Need to run historical scenarios on groups of curves, together or separately, parallel or non-parallel shifts, absolute or relative, by industry sector or liquidity ranking? It's all there, and the same stresses can be reused for market, credit, and collateral calculations.

Ready for FRTB? Vector Risk delivers a pre-packaged solution, whereby curve definitions contain the categorisations (credit quality and industry sector, market cap, economy and commodity bucket). Trades contribute automatically based on the risk factors they attach to for pricing. The sensitivity definitions are generalised by currency and type, meaning the number of actual definitions is kept to a minimum, and complete risk coverage is assured. The sensitivity results become the inputs to our standard model calculation, which generates the capital numbers at the desk level and for the enterprise as a whole.



CREDIT RISK

For PFE, we use real-world Monte Carlo parameterised from your historical data. You can see the effect of netting and collateral, track path-dependent events such as option knock-outs, and apply correlations and stochastic processes appropriate to the evolution of different market rates.

Vector Risk calculates xVA and sensitivities using full Monte Carlo simulation with risk-neutral curve evolution. The sensitivities are calculated in the Monte Carlo by running extra scenarios to shift each risk factor up and down. This is a very intensive calculation, but Vector Risk's vectorised code makes it possible. CVA DVA, bilateral CVA, FVA, FCA, and FBA are all supported.


Market Risk Analytics

FRTB Internal Model

The Internal model requires a large number of historic or monte carlo simulations (stress period, current period with full and constrained factors, all at five liquidity horizons). Vector Risk bundles all of these simulations into a single task and applies the Basel formula across the expected shortfall results to give the regulatory capital.

By simply linking your business unit hierarchy to the internal method, the system runs the calculations at desk level and for the enterprise as a whole. The requisite supporting analytics, including VaR, Backtesting and Theoretical P&L, are supplied, as is a calibration calculation to identify the stress period in the history set.

ISDA SIMM

The International Swaps and Derivatives Association developed the standardised margin methodology to reduce the potential for disputes and create efficiency through netting exposures. The model applies a sensitivity-based calculation across four product groups: interest rates and foreign exchange, credit, equity, and commodities. Vector Risk is a licensed ISDA SIMM provider.

SA-CCR

The Standardised approach for counterparty credit risk (SA-CCR) is the capital requirement framework under Basel III addressing counterparty risk for derivative trades. SA-CCR calculates the exposure at the default of derivatives and "long-settlement transactions" exposed to counterparty credit risk.

P&L ATTRIBUTION

Examine the sources of change in your mark to market from one day to the next. Show P&L due to maturing trades, new trades, market movements (broken down further by risk type), and theta.

HEDGE EFFECTIVENESS

IFRS 9 requires the existence of an economic relationship between the hedged item and the hedging instrument. Vector Risk provides a prospective test using regression analysis of the historical simulation of changes in the hedged item and hedging instrument, and a retrospective test using the dollar-offset method.

Features

Take a look at the features of the analytics

Onboarding

How can you onboard a customer in weeks? Vector Risk uses SaaS and pre-integration to rapidly onboard new customers.

As a SaaS offering, we can create a newly configured instance of the analytics in just a day. Don't believe it! Put us to the test with a pilot so you can see results using your data. All you need is a Windows-based laptop. No software delivery, no waiting for hardware, and no uncertainty about functionality.

The analytics are pre-integrated with several trading platforms, dramatically speeding up the mapping process. New trading platforms are added all the time. All you need is an internet connection.

Security

Vector Risk uses Azure, a trusted foundation on which to manage secure cloud applications and infrastructure. Azure datacentres are physically constructed, managed, and monitored to shelter data and services from unauthorised access as well as environmental threats.

Intrusion detection, denial of service attack prevention, regular penetration testing, and forensic tools help identify and mitigate threats from outside and inside Azure. Vector Risk uses Microsoft Defender and Microsoft Sentinel.

Defender provides endpoint security and helps prevent, detect, investigate, and respond to advanced threats. Sentinel gives security information, event management (SIEM), and security orchestration, automation, and response (SOAR). Vector Risk partners with cybersecurity experts to continuously review its cybersecurity posture.

Vectorisation illustration

Vectorisation

Vectorisation gives an 80 times speed-up over normal code. How? Read on...

Simulations involve valuing the same trade across hundreds or thousands of potential future rate scenarios. Normal code would do this by performing the valuation one scenario at a time. Vectorised code treats the rates across all the scenarios as an array, so each piece of the valuation code stays in the CPU while a “pipeline” of rates gets passed through it.

Vector Risk has developed a set of vector template functions that underpins its pricing library and analytics engine. The unique feature of these template functions is that they are non-invasive. The pricing code looks like normal code and can be supported or built on without the need to attain esoteric coding skills.