Scila Risk™
A modern platform for multi-asset class real-time risk management
Risk solution for market participants and operators offering a real-time view of position valuations and portfolio risk and lets users drill down calculations all the way to the underlying market data.
Scila Risk™ lets users set up and monitor limits on all data that is processed or calculated by the system. Users can perform what-if simulations to see the effect of a hypothetical trade, a market shift or a model change. Risk results are continuously validated against observed market changes to identify problems in the risk models.
Supported operations:
• Real-time position valuations
• Real-time portfolio risk calculations
• Real-time margin algorithm
• Portfolio slicing and aggregation
• All asset classes in one screen
• Time warp portfolios or market data
• What-if calculations (modified trades, market data or models)
• Scheduled or ad-hoc calculations
• Drill-down analysis
• Limit monitoring
• Model validation
Modern web-based interface
Scila Risk™ offers a modern web-based graphical user interface that removes the need for locally installed client applications. Scila Risk is built using microservices that communicate using standard technologies, which makes it easy to integrate Scila Risk in an existing environment and re-use existing price models or risk algorithms. The system can be deployed both on-premise or as a hosted solution.
Energy market capabilities
Risk capabilities within the energy market:
• Full coverage for both physically and financially settled standard and non-standard energy products
• Pricing algorithms tailored for the energy market
• Curve calibration of energy market products
• Drill down capability into the projected future delivery structure, down to hourly granularity, and associated metrics, e.g. price and profit-and-loss
• Risk and position limits models with full support for energy products
• Real-time initial margin capabilities with support for the European Commodity Clearing (ECC) margin methodology
Position limits monitoring
The Scila Risk system has built-in real-time position limits monitoring and reporting that supports multiple use cases:
• ESMA (MIFID II) position limit regime for commodity derivatives. The system supports both lot based and energy delivery (e.g. MWh-conversion and load type) based limits and is capable of separating spot and other months.
• Exchange position limits including hedge exemptions and diminishing balance contracts.
• U.S. Federal position limits (spot month and all-months combined)
• Custom position limits can be defined at a fine grained level such as company wide, trading desk, trader.
Supports all types of asset classes
Scila Risk™ has been designed to support all types of asset classes, and the instrument library is continuously extended. Scila Risk supports both standardized exchange traded instruments and OTC deals and captures cross effects between standard and OTC trades.
Supported standard instrument types:
- Equities, equity options
- Index futures and options
- Commodity futures and options
- Interest rate futures
- Bonds and bond futures
- F/X futures
Supported OTC trade types:
- Forward rate agreements
- Interest rate swaps
- Credit default swaps
- F/X forwards
- Flex Options
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