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Counterparty Exposure Profile

Products

Aristo is a pricing, hedging and risk measurement software product. Packaged in various modules for different asset classes, it covers a range of derivatives of foreign exchange, interest rate, credit and equity markets. The modules are built around powerful quantitative libraries which employ sophisticated models e.g. stochastic volatility, Libor Market Model and Copula statistics for pricing and risk computation. These models are implemented in appropriate pricing methodologies among close-form, Finite Difference (FD) and Monte Carlo simulation with optimized implementation.

Aristo is a JAVA based application with C++ pricing library at the back. The customer can install individual modules as a desktop application. The pricing libraries can also be used with Excel as interface. The real-time market feeds are imported from external sources e.g. Reuters and Bloomberg.

Numerisk provides a complete suite of training and implementation for usage of the product. Through an automatic update it ensures that new derivative products are added regularly. The non-standard customer’s requirements are catered by developing customize solutions which employ existing quant libraries.

:::.. 1. Aristo-FX

Aristo-FX is a pricing and risk measurement software for Foreign Exchange derivatives. It includes all 1st generation, 2nd generation exotics and most of the structured products. Apart from pricing it can be used for variety of middle office analyses including:
MTM, Value-at-Risk, Scenario Analysis Vega-and-super bucketing Counterparty exposure analysis Graphical charting risk parameters
The product employs SABR (Stochastic Alpha Beta Rho) model for computing theoretical price and Greeks. The smile effect is accounted through an appropriate adjustment to Volga and Vanna (2nd order Greeks) risks. It provides an efficient implementation of local and stochastic volatility models for pricing more complex derivatives under Finite Difference and Monte Carlo setup.

:::.. 2. Aristo-IR

Aristo-IR empowers users with a broad range of pricing functions for interest rate derivatives. It generates precise payment and accrual schedule based on a minimum number of trade inputs. Building yield and volatility curves for cashflow projections, pricing and generating risk measures for a wide variety of instruments including structured products such as CMS spread range accrual, snowball and target redemption constitutes are the key functional features. Apart from standard derivatives it also empowers users to structure customized cashflows. A number of interest rate and inflation rate hybrid derivatives are inbuilt in it. Among post-trade analytics it includes:
Counterparty exposure profile analysis Mark-to-market valuation Scenario analysis and value-at-risk computation
It employs multi-factor Libor Market Model to price callable and non-callable Libor exotics. The model uses cascade calibration approach to enhance the speed of Monte Carlo simulation. Traders can also use trinomial tree implementation of Black-Karazinski, Hull-White, etc. models in 1 & 2 factors to price simpler exotics.

:::.. 3. Aristo-CR

Credit market poses a different level of computation challenge. Special attention has been paid to enhance the computational efficiency of pricing library used in Aristo-CR. Innovative numerical techniques have been employed to compute 1st and 2nd order Greeks. The product covered pricing of:
Single and multi name default swaps Structured credit products e.g. CDO-squared and Bespoke CDO Mark-to-market valuation of portfolio Jump-to-default risk analysis
It uses heterogeneous Large Pool model (Gaussian Copula) for quick pricing. Mapping of base correlation for bespoke tranches using standard tranches is made simple in Aristo-CR. The module facilitates traders to structure complex CDO and CDO^2 deals for large underlying portfolio exceeding 500 names.

:::.. 4. Aristo-EQ/CM

Equity and commodity derivatives are categorized in separate packages. A comprehensive list of instruments are covered under an interactive analytical framework. It uses stochastic volatility model to price complex structures. Pricing of a variety of Capital Protected Equity Notes and Commodity Linked Notes is supported within its standardized templates.